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I have to design the sounds of a creature made of shadow for an horror short film.
The sounds will be melted in a cemetery background. We only see it for 1 or 2 seconds at the end, so the sounds must be intriguing, and slowly create tension through the scene.
I would record wind sounds with different pitches. After that load the sounds onto a sampler and use pitch bends to create a layered doppler effect so that it sounds like the creature is moving back and forwards towards the audience.
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It always depends on how heavy-handed you want the moment to be. If it's a more subtle gesture (less slasher thriller, more psychological), try performing a similar effect that Iain suggests with the other backgrounds in the scene. For instance, if the cemetery has crickets or a roomtone of its own, try distorting/pitch shifting those sounds as the creature goes by. Using the normal diagetic sounds gives the sense that the presence of the creature messes with reality.
If it's an ethereal creature without a solid physical body then I probably would start with micking up some different fans and ventilation-systems (as worn and gritty as humanly possible), as well as vocalize lots of very whispery/breathy noises and half-words!
I can't remember the sound exactly per se, but there was an episode of the X-Files about deadly shadows called "Soft Light", I remember it had a lot of creepy atmospheric sound typical to the series. Another technique that seems to work well for tension of this sort is a sort of high-pitched metal groan with reverb, you can hear it around 0:24-0:25 in this clip: