It can be done in the mat room quite simply, but depending upon the character may take a bit of work. Animate the textures. The little key icon beside each parameter in the mat room is the animate icon. Go to the frame you wish your character disappear in and set their materials to not render by turning off the diffuse, spec, et al. and turn transparency to 1. Your character will fade away from frame one to the frame with the non-light reactive (transparent) doll. If you want to have the disappearance more instantaneous then key frame the doll with good textures the frame or two before the vanishing which will speed up the fade immensely. To make your life easier EZskin or VSS can be used to set all the character textures at once so you don't have to go through the tedium of setting each texture one at a time.