There are several ways to approach this, you could hide the object and play an explosion by attaching an emitter, if the projectile is quick you could just make it play an explosion effect, that would be pretty much the same as above but no object to see it just the emitter. You could have an Effect already there as a component and hide it then show it and play it. What I would do and this is just my opinion is make the explosion effect and then figure out how you want to present that effect on the projectile.
Best Regards,
Ryan