Go to triggers, and make a SFX action on (unit) at (attachment point) with model (model). Try it out and see if you get it. Heres model attachment points
left (left hand/foot, u get the point)
right (right hand/foot, u get the point)
mount (for mounted units, i.e, foot mount)
rear (for quadrupeds)
first (for buildings)
second (for buildings)
third (for buildings)
fourth (for buildings)
fifth (for buildings)
sixth (for buildings)
rallypoint (for buildings)
overhead (floats over the unit's head, but doesn't sway with the
head as it animates)
head (sways with the unit's animation)
chest (use this for wings, Illidan's, Mannoroth's,....)
origin (usually at the base of a unit's feet, use this for auras)
hand (self-explanatory)
foot (self-explanatory)
weapon (for HEROES)
sprite (for buildings)
medium (for buildings)
large (for buildings)
Cred to Shados for the list.