Render to a photoshop sequence with the color set to RGB + Alpha and Straight Alpha. This will give you a Photoshop sequence with transparency, but it will not give you layered Photoshop files.
I don't know what you mean when you say it is very tedious to turn on the alpha channel for each individual layer. After Effects always has an alpha channel, Photoshop files handle Alpha Channels differently than do other formats. What are you trying to do with your Photoshop sequence? I'm a bit confused.
There's some script floating about that can export a whole comp using this method, but it takes forever to do so and as the others said, you still have to follow certain rules to get a file PS can actually use. It might be more efficient to export separate sequences using conventional file export and make good use of video layers or Frames to Layers in PS...