Why would you need to? Most features from illustrator are vector not raster. As long as it is still a vector object, it will retain the transparency. You probably would be better using the ai format instead of eps though, it is more robust.
If you are rasterizing the layer, show us an example, maybe we cans till figure it out.
i'm bringing an eps line drawing over from IA to paint in PS. i want to paint it so that i don't have to stay in the lines by using the lock transparency feature. sometimes it works and sometimes it doesn't. confused.
As I mentioned the illustrator file is normally vector shapes as long as that is true (nothing has been rasterized or used any raster special effects) then there is no need to lock the transparency.
If you want to use it as a guide to paint on, then use that eps file as a mask on a new upper layer. Then you can not paint outside the outer line of that object(s). If needed you could break it up for masking as well, which may be easier to do in illustrator.
For the lock to work, the eps file must be a raster image or you rasterized the layer that contains the eps file. As long as you can still see any transparency, then the lock will work. So if that is your preference, then right click on that layer and choose rasterize.