Since footnotes aren’t included in the cheatsheet, I’m assuming they’re not supported by Alloy. Is this correct?
The standard footnotes, as originally designed and outlined on Daring Fireball, do indeed work in Alloy’s Editor and renderer.
The example given by Daring Fireball on the syntax guide looks like this:
I get 10 times more traffic from [Google]  than from [Yahoo]  or [MSN] . : http://google.com/ "Google" : http://search.yahoo.com/ "Yahoo Search" : http://search.msn.com/ "MSN Search"
The output will look like this:
This isn’t something I see a lot of RW using, so I did not include it in the Markdown guide on the Alloy site.
By the way – the reason why I mention “standard” footnotes above is that not all Markdown renderers are equal. Some try to add in a lot of extra, non-standard things, including specialized footnotes, and more, which aren’t a part of the base Markdown syntax. Alloy’s Markdown renderer sticks pretty darn close to the original Markdown syntax. It is one of the reasons I selected it as the renderer for Alloy.