You will need to render to a file format that can have an alpha channel. In most cases, these are uncompressed or lossless codecs such as Quicktime Animation. Codecs such as DV do not support alpha channels.
The other important step is to make sure that you choose to render RGB+Alpha and straight matte in your render output module settings.
Of course, make sure that what you have created actually includes transparent areas. Click on the white alpha channel button at the bottom of the preview window…you should see a black & white image, where white areas represent opaque areas and black areas represent transparent areas. If the image is entirely white, the image will be completely opaque.
Some effects, like AE’s lens flare effect, appear to create transparent areas, but are really not. These have to be “unmultiplied” in order to remove the black.
Also, check any import settings in Premiere you might have. It may have settings to ignore an alpha channel.
Otherwise, Premiere may be having problems with QT files..in that case, export your AE effect as a PNG or TIF image sequence (being sure to choose RGB+alpha and straight). Every frame of the effect will be exported as a single image. Then import this image sequence into Premiere making sure to choose the option for sequential files. Premiere will create a video clip from these files.
Erik