As Cavan said, transparency has to do with the images themselves, not SkinStudio per se. SKS just assigns the images you designate to graphic elements and allows you to enable the various attributes for those images for them to display as desired, including transparency & translucency.
I was in the same boat not long ago - you just need to get an image editing program that will allow you to create/modify images utilizing transparency (.tga & .png preferred). Paint.NET is an excellent free program worth checking out. Most "pros" use either PhotoShop or Paint Shop Pro but they can be a little pricey depending on where you get them. Another free program often mentioned is GIMP, but it was very cumbersome to install & get running when I last checked it out - that's been awhile, though, & it may have been simplified since.
