Thank you for your reply.
My track is a midi track, so I don't think I can use the Edit window.
I imagine I should be able to do the same thing from the piano roll?
I tried by editing the velocity, but unfortunately I can only get one event velocity by note. So if I want to fade out on a half note it doesn't seem possible ....
Noel's answer above is for RealTracks and would be an excellent solution, except that you've now mentioned MIDI. The piano-roll will allow you to edit single notes, but not apply a fade using the velocity editor. However, MIDI has other controls.
MIDI Control Change 7 is volume,
MIDI CC 11 is Expression, which is only normally used to turn the volume down.
Try setting the View / Edit value to 'Control' and select '11 Expression MSB' then see it that allows you to fade the note by creating a curve on the bottom part of the Piano Roll window. It worked for me in my testing.