Yeah, this is a common problem with characters containing 2d eyes.
Here's a tutorial.
http://forums.kc-mm.com/index.php?topic=7.0I'm pretty sure that it essentially uses the original texture as a fake-alpha-channel/layer.
Anyways, hope this helps.
Hm. Unfortunately, and it was mentioned a few times in the thread, the instructions are kinda confusing. And apparently you can't do anything with Pikachu's Final Smash eyes unless you have Photoshop. I'll give it a try, but I'm not entirely confident that it'll work.
Edit: I haven't tried it in Brawl or anything, but just looking at the preview I'm pretty sure it's not going to work. Everything around the cheeks and the eyes are gray.