There are a lot of great tips over in the
The Dark Room. And out of all the lenses I have, that little Sigma 18-50 2.8-4.5 is the one I use most. I don't want to take the thread TOO far off topic, but it's worth noting that the photos of the Alpha were done OUTSIDE in daylight and holding the camera free hand. Even at 8FPS you must hold very still to capture 3 images without moving.
The Spy was shot indoors. ISO was set at 1600, and I used a combination of a Canon EZ530 (I think) flash bouncing off of piece of paper taped overhead, and used a Zebralight H502d for supplemental lighting. When no extra lighting is used, I put the camera on a tripod and trip the shutter with a remote release.
It's really hard to recommend any settings - there are so many variables. You just have to play with it - makes us appreciate digital photography since we can shoot all we want until we get it the way we want it - with no waste!
And yes, long exposures will capture that light! One technique that is often discussed in the Dark Room is "light painting" - put your subject in a totally dark environment, set your camera on a tripod with a long exposure (1 to 4 seconds - you really have to experiment), and while the shutter is open 'paint' the subject with your chosen light. You can get some really cool effects, or simply provide totally even lighting in the photo by moving the light source at all angles to ensure no shadows are 'seen' by the camera.
Now, to get back on topic, I can't wait to see some of your new shots of the Alpha with your D40!