@ http://www.gamesas.com/user/792503-fragginborn/ & http://www.gamesas.com/user/237180-phitt/
Well there is times when this will not work, it's OK for static objects and such.
Why? You can do what I described to any model, not just statics. If you can apply a texture and an alpha property then you can also apply no texture and an alpha property and change the LightingShaderProperty settings. It's faster, saves texture space and you have less unneeded clutter in your mod.
Anyway, if for some reason you can't do this (though I don't know why) then you could use a little trick to save your texture. I didn't know that a completely black alpha channel gets removed when you save the texture (tested it and it is indeed true), but when I made a single pixel with a RGB value of 1/1/1 it saved the alpha channel. That's nothing you would ever see in game and it's 99.9% transparent anyway.