After reading through all of the tutorials - and struggling with PSP 8.0 to get an alpha layer done properly, I happened upon a resource that makes the file save process all very easy.
It's a utility called DXTBmp (and it's used for 16/24/32 bit and DXT Extended Bitmap Manipulation for FS2002, FS2004). Its used by texture artists for Flight Simulator 2004, so that they can place custom livery on their texture maps. I decided I would give this a try.
http://www.mnwright.btinternet.co.uk/programs/dxtbmp.htm
In the screenshot from the link, the upper right hand corner is set aside for the alpha texture. To edit the alpha texture, double click the image, and create your transparency (it'll load to your graphics program as trans.bmp). Once you're done, select save from your graphics program in the usual way, and then refresh alpha from the DXTBmp utility. When you're ready, select 'Save As..Targa with Alpha Channel'. I'm still pretty new at this stuff - but the utility worked for me wonderfully (or at least it appears to work from the preview images I tried).
You might give it a try, and see what you think.