The problem with the default content processor for models and effects is that it doesn't know whether things should be transparent or not.
What I do is tech the objects with a .fx file that draws transparentcy, and export with an exporter that includes the .fx file information. The textures are then parameters for the effect. When I load this model and draw it with the included effect, the transparency is turned on by the effect.
There are some additional things to worry about, such as sorting transparent objects from far to near for draw order, and configuring your effect when it's not a BasicEffect, but those are pretty simple to work out.
If you want to see an example, you can download the kW X-port installer (version 1.3.2-rc0 is the latest) and the KiloWatt Animation Library. The Archer.x model was exported out of 3ds Max, and some of its textures use transparency. The tools/animationviewer project contains code to draw with the custom effects, as well as the textures and model.
