There are many techniques to do this, here are some I know:
Scale-distance : Obvious - make them smaller to make them further from the camera
Fade-distance : If your outside (on earth) then the further away something is the bluer it becomes. This of course depends on the atmosphere.
DOF : (Depth of Field) A camera has a distance field which it is focused on - anything outside of this field becomes blurred. I don't know if there is a quick way in DBP to blur sprites if they are too close or far away.
If you know any other techniques you can post them