Light cones are a nice visual effect that can improve the atmosphere of your game. You can easily add this effect in UE4 with a combination of fog and lights.
The first thing you need to do is create your lighting for your scene. There's no specific requirement here, just add the lights you need so your scene looks the way you want. For my scene I've used a combination of one direct light to simulate lights coming from the exterior, and point lights to simulate light bulbs and candles.
We need to activate the Exponential Height Fog to fix this issue. After we do this, we get the nice rays we want.
This is the part that requires most tweaking, since you need to find a good balance between your interior lights and the exterior light. In my case, I am using boxes, so there's no real details in the level. This means I will need to tweak lights again after I have finished the level, but this should give me a good starting point.
While this is a good effect, you surely don't want your rays to be white/gray all the time. You can easily change the color of the rays by changing the color of the light. For example, this is how my rays look when I use a darker red.
One last thing. A while ago, when light cones were added to engines (back then called “light shafts”) they were the lens flare of real time graphics, meaning that a lot of people were using them heavily (think J.J. Abrahams' Star Trek but with light cones instead of lens flares), since people have the tendency of over-using effects because they look cool. Many times, less is more: a subtle light cone can make your scene look a lot better than a very dense one, and a subtle volume around a light can look way better than an over-exposed volume around every light in your level.
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