Here's where a screenshot would help a bunch. Anything you create as an RGB file in Photoshop will import into After Effects as a comp or as Merged layers and maintain transparency and look. The only thing you might loose are some layer styles. Layer groups come in as pre-comps but everything else should work unless you are doing something weird.
You have the option to export as a movie. Animation High Quality and JPEG 2000 support alpha channels and are good choices. Check the bottom of the output popup and select Export Alpha Channel and Straight Unmatted is the preferred format for AE and almost all NLE's.
If in doubt, try a test with 3 or 4 frames. It only takes a few seconds to export a few frames and create a test.
If you want to export an image sequence then you must create an alpha chanel for each frame. This is easily done by holding down the Ctrl/Cmnd key while selecting the thumbnail in the Layer Panel to make a pixel selection, then by clicking Create Layer Mask. Once you've created the alpha channel you will have the option in the Export Video popup to select an alpha channel. If you're working in Float I'd suggest you export 32 bit Targa files or a Photoshop sequence.
I hope this helps.
Thanks for the reply. The issue is not with static image transparency. I've attached a screenshot to explain what I mean. The little white head (with the red arrow pointing at it) is animated. He is made of several frames in Photoshop, using the 'make frames from layers' command. This is then exported as a movie and imported into AE. But as you can see, the background around the head is black where it should be transparent.
I've tried a few different export formats, the only one that will allow for alpha channels is mpeg 4, but AE still doesn't see it as transparent.
You're mistaken. MPEG filoes cannot have transparency/ Alpha channels, despite some flavors supporting extra channels for hardware-based keying or other creative uses in the video world. Simply use image sequences.
As I explained above you have to create a layer mask for that to work with image sequences. Each layer needs it's own layer mask.
If you don't want to create layer masks then you should use movie export as explained above.
Ok, many thanks for your help - I think I've got it, creating alpha channels for each image seems to be working pretty well.