Don’t know about FCP, but AE can accept Illustrator files natively and they all come with an “automatically generated” alpha channel on it, you do not need to export them and artificially generate tha alpha on Photoshop, just save them as CS4 (CS3 if you are in AE CS3) with create PDF Compatible File checked.
Also keep in ind that Illustrator can separate each object into a different layer for you, then you either import each separate layer as you need them or import the whole set as a composition. Go to the layers panel, click on the little twirly in the top right corner and select Release to Layers, sequence or build depending on your needs, each object or group of objects will be separated to its own layer.
Premiere Pro also accepts Illustrator files natively with the alpha channel so chances are FCP does as well.
Best,
D.