Another way to do it is to create additional edges near the edge you want sharp and to pull those edges close to each other. For example, picture a 90 degree corner. Instead of one edge at the corner, there would be three. The two on the outer edges would be drawn close to the one in the middle to make a sharper edge.
JCL: It would be nice to have something like vertex/edge weighting in GameStudio to simulate hard/smooth edges better. Or even to support edge groups (the 3DS MAX does).