imoogiBG ( Edit: And Cozzie! ) grabbed the main point here.

Another way, way more expensive, would be to perform some fancy volumetrical effects, though, I'm not going into detail with it here. ( Though if you want to, just say ).

So, one out of many ways would look like this:

Probably those 'light beams' are not dynamics lights. Maybe they are textured billboards?

So, you'd have these 'light beams', geometrically they could look somewhat like this: ( Just an example, so you get the idea )

[ Y being the rotation of the 'beam', then if you have two beams, one rotated on the y axis ( up axis) by PI/2 [NOT PI, SORRY] ( or 90 degrees ), then if you add these two, you'll get something that looks like the one on the right ( quick model made in blender ).

[ You may add more 'blades' if you want, try it ]

Now the easy stuff is done. Now what?

Well, one important thing is tricks in lighting, as the normal lighting calculations usually don't apply the same way to these, because generally this is a hack. So, you should not calculate the light based on the normal, you should rather leave it without any lighting calculations done (leave it textured without any lighting ), and maybe you could apply the shadows to them if needed. ( PS: This may not be the best looking result, maybe not the most correct either, but, it's a start, then after you can go venturing ).

So, what you'd want to do is enable color and alpha blending, and make it additive. (There's a ton of stuff on the net about this, so I won't explain this in detail)

Then you'd apply a texture, a simple smoke like one, could look like this:

Then base the alpha output on the color intensity, i.e. black colors return 0 in alpha value, giving it this volumetric look.

Then, taking into account of how much work you put into it, the textures, and maybe even how many blades you have ( do not create too many blades, it might even worsen the look ), it might start looking like the picture below.

Notes to take into account:

• They seem to bleed away with distance, the alpha value of those beams in the pic.
• You may want to blur it, but this may get complicated depending on what kind of pipeline you're using. ( Like deferred )
• In the pic it almost seems like they use stretched cubes, which is still possible, depends on your preferences.
• Your blades may even start thick and then go thin, again, depends on your preferences.
• In the scene there, you're quite far away from the beams, which is because as you go close, you might start clipping the geometry of the beams. how you could avoid it:
  : Use Soft Particles
  : When the player comes close enough, start fading the pixels on the blades away.

EDIT: ( Cozzie )

Good point you got there, almost missed it out. A naive way would be something similar as above with the blades. But then on top you would create a supporting spot light with the same kind of radius as the blades, following their path, maybe with a slight larger radius for a better effect. Then you'd light up the nearby objects, like the plane.

So it could be something like this:

[ The blue being the spotlight, r being the radius, the black part being one blade, the grayish being another blade, one of them being PI/2 rotated in the y axis]

Hope this can assist you.

-MIGI0027