I Love, Love, Love adding jet exhaust to all my flyers. I just think it adds such a sense of speed and direction to them. And in photography really makes them look "alive" if you will.
For all my jet exhausts I use Armorcast Cinematic Effects Lazer Muzzle flashes. These are designed to be heavy las type weapon effects, but flipped around make effective afterburner effects instead.
I glue all the exhaust stream effects to a "tree". This allows for quickness and ease of painting.
I give all the pieces a base coat of white. I prefer Vallejo airbrush Surface primer.
I give all the effects a few coats of Vallejo Air Sky Blue. Then I use the same color to lightly spray around the end of the jet engine nozzle.
I use Vallejo Air Dark Sea Blue to spray just the very ends of the tips on the exhaust stream. This starts to create a "hot-to-cool" gradient on the pieces that will add to the final effect later on.
At this point I spray some white on the end of the exhaust that will be closest to the jet nozzle. This creates the hot point of the exhaust stream. Sometimes if I feel the airbrush highlight is not enough, I'll drybrush some extra white on there.
After clearcoating everything, I simply snip the exhaust from the tree and glue it to the model and viola!
Here's some examples on different models
Dark Eldar Reaver Jet Bike Unit
Dark Eldar Razorwing Jet Fighter