Shining light-beam through a hole in an object?

I’m relatively new to this kind of thing, so I’m sure it’s probably quite an easy task to achieve.

I’m looking to be able to shine a light-beam through a hole in an object (a bullet hole in a vent for example) I was inspired by this thing I went to during Halloween, where you had to crawl through a vent maze, with light shining through holes in the vents. It was dope.

Anyone know how I could achieve this? and would you please point me in the right direction, thanks!

Examples: (Sorry for the super low quality diagram)
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This effect is called God Ray.

You could (relatively) easy achieve it with a Fake God Ray. You would need someone to write a shader for you, which is similar to this (works for UDK)