Without seeing the textures you're using, it's hard to tell you what to do with your alpha exactly, but I can give you some basic pointers.
1. The top of a hair alpha (root of the hair) should be white and the bottom (ends of the hair) should be black. This will give your hair the appearance of thickness at the scalp and will will eliminate any visible texture edge at the ends.
2. Individual strands in the alpha should vary in grayness so that the hair has a semi-transparent look, just as real hair has. This will also give an illusion of depth, as the brighter srtrands will appear to be in front of the darker ones. Then when you layer prims on top of eachother to build the hair-do, you'll have the apprearance of semi-intersecting layers of hair, just like on a real head.
3. Do not make all the strands gray. Many should be solid white so that each layer is not too transparent. It takes some tinkering to find the right balance here.
4. Use gradents on the gray parts so that they get lighter as they approach the root area. This will give the hair the apparance of thickening as it approaches the scalp, and thinning towrads the ends.
I hope that helps. Check out
this tutorial for additional tips. The tutorial is not meant specifically for SL (it's written for 3DSMax and Maya), but the principles are the same. You'll see a nice example of a hair texture along with its alpha (which is very well done) so you can see what I was talking about. Good luck.

EDIT: Oh, and be sure to recognize which image is which in that tutorial. In other words, don't just look at the pictures, read the artical, hehe. Note that the first grayscale pic is not an alpha. It is a specularity map, which is not anything you'll use for SL (here's hoping for the future though). The second grayscale image is the alpha. Notice the solid white mass at the top, the solid black mass at the bottom, etc.