I have heard that you can create a gui that covers the screen, make it all black, then adjust its transparency going from 100 down to 0.
EDIT: reference:
http://www.adventuregamestudio.co.uk/forums/index.php?topic=49278.msg636472505#msg636472505
EDIT: reference:
http://www.adventuregamestudio.co.uk/forums/index.php?topic=49278.msg636472505#msg636472505