Hmm...
First off in order to do transparency, you need the texture to be transparent (as in a checkered background in photoshop/gimp, not a black background) and to save it as a .png.
When you get it in there, you need to make the format either CMPR or RGBA8(For semi transparency)
Also for materials that have textures you want transparent, you need to edit the highlighted part of the material that the clouds/whatever you want transparent use.
Also right click the Mdl0 block and make a new Shader for the transparent parts to use. Here's an example of a Shader ready for transparency usage.
http://www.mediafire.com/download/bwv1862u8nn1do6/ShaderTransA few notes here:
PNG is fine, but it kills the color information in the fully transparent pixels. Well, at least for me, not sure if it happens in all cases. Anyway, there's cases in which those invisible pixels are transparent black pixels, and they're visible in-game because of the blur used in the materials. If you import a TGA texture with an alpha channel instead, you can have fully transparent pixels with colors other than black, which makes the borders look better.
CMPR only has hard transparency (pixels are visible or not visible, not middle terms). RGBA8 is the best for semitransparency, but the image files in this format are too big. Sometimes the quality doesn't need to be that good and RGB5A3 is another option for semitransparency. RGB5A3 can also be used for hard transparency materials in case CMPR compresses too much the textures and look bad. And there's also the CI8, but materials need to know that there's a palette in this case.
About the shader, there's no real need to use a new shader specifically for the transparent materials. If the light properties are the same, transparent and not transparent materials can share the same shader. If the one generated by brawlbox automatically doesn't work, disable the alpha in the first color channel in the material:
You may need different shaders if you're using materials that use lighting together with materials that don't use it. For example, you may be interested on having a sky that's not affected by lighting. That could use a different shader that doesn't have the 'RasterColor' in its stages, and whose ColorScale is smaller. Depending on the vertex colors you're using if any, you'd need MultiplyBy2 or MultiplyBy1 instead of the standard MultiplyBy4. The MultiplyBy4 comes because the lighting in stages have small color values (something like 120,120,120 overall), and that color is multiplied by the color in the stage model, usually (128,128,128). This means that you get something like an overall (60,60,60) in the model. To look fine, the model should have values around white (255,255,255), that's why the shader gets that (60,60,60) and multiplies it by 4, so the model in this case would get colors around (240,240,240).
If you make the material not to use the stage lighting, you'll have that (128,128,128) alone. The shader in this case needs to multiply only by 2, to get an exact (255,255,255).
Also, if instead of a standard (128,128,128) you're using vertex colors, and your brightest color is white (255,255,255), then your shader doesn't need to multiply by anything, so your shader should have the MultiplyBy1.
So, in short, you don't really need different shaders for different transparency options, materials can share the same shader. It's when you combine lighting-affected with lighting-unaffected models that you may need different shaders.
The better option for stages is vertex-coloring, so you don't need a complex and specific lighting set to obtain nice colors. You can emulate the casting of shadows and other stuff that the brawl lighting will never do. If you vertex-paint your model, use a shader for that. If you're using parts without coloring, you can either paint them white and keep the same shader, or paint them grey and use a MultiplyBy2 shader. For materials affected by lighting, you'll need (128,128,128) as the vertex colors and the MultiplyBy4 shader. You can also have vertex colors plus stage lighting, but you have to remember that stage lighting will darken those vertex colors and you'll probably still need the MultiplyBy4 one.