Most sponges do not have lighting requirements and will usually fair better out of direct light. It will help limit the possibilities of algaes collecting on them and clogging their pores. Be very very careful never to allow it in open air or near an area of the tank that has equipment that may expell air bubbles. They are quite sensitive and will die if exposed. The resulting dead tissue will start a chain reaction and the whole sponge will necros in short order.
Blue sponges on the otherhand are photosynthetic and can be less challenging. They will also most times be accompanied by another coral usually being an encrusting SPS
. Personally I've never had much luck with either but >>here
<< is some info about care/feeding you might find useful.