Add an event (what Vegas calls a clip) to your timeline.
Right click it, select Properties, switch to the Media tab, change the Alpha channel to the desired setting and then click the floppy disc icon next to the Stream line as shown below to save the selection.
All events like this will automatically come in the same way.
Be advised that if you bring in something different (for example, a PNG file instead of a TGA file), you’ll have to repeat this process.
