Transparent images should be saved as PNG
(Portable Network Graphics) format.
I use paint Shop pro 7 (old I know but does the job)
Goto file menu,
select Save As...
Type in the file name of the file you are saving and change the file type to PNG.
Click options on the save as window then run optimizer on the options window and tinker with the settings for tolerance, quality etc. Thats it.
Almost all graphic editing software has help/guides that should run you through step by step on how to do this.
I digress...
If you are lucky enough to find Microsoft's Image Composer (discontinued), I have found this to be the best software for mapping out and creating your themes.
For animated themes, try to get a copy of Ulead's gif animator v5. It can even enable animation merge.
I hope this helps
Vic