You have a choice. You can go the alpha channel route or the no alpha channel route. If you want no alpha channels, make the background black and save as 24 bit tga, jpeg, or DDS with no alpha (not sure how). Any color but solid white will be partially transparent, however. If you want to go the alpha channel route, delete the black background (make sure your photoshop file has a transparent background (you should see that checkerboard), and save as 32 bit tga or DDS with alpha. This will yield slightly larger files, however. Oh, and when I say save, I mean when you export for use in-game (probably keep the PSD files since they can be edited).