It takes a bit of editing to do it.
There is no alpha channel but rather a transparent color. That color is color number 255 in the texture's color palette, it's the last color. You cannot have any partial transparency commonly seem with an alpha channel, so decide wisely what is transparent and what is not because there is no in-between.
If you open up an existing transparent texture, you'll notice this on the palette on the right side of wally's interface. If you've colored all of the see-through areas of your texture with a masking color (red, blue, green, magenta, yellow, actually doesn't matter) import it in as you normally would into wally and edit it.
First step is to copy (ctrl + C) the whole texture as it is. You'll paste it later.
It's very likely that your masking color will not be the last color in the palette so let's fix that.
Up at the top menu, click COLORS > EDIT PALETTE...
Click the last color and look at it's RGB value.
Take those values and change your masking color to that value.
Now with the last color in the palette, index 255, change that color to the masking color, whatever it might be.
The texture in the editing canvas will change and that's ok. go EDIT > PASTE > PASTE INTO IMAGE (ctrl + E) and the texture you copied earlier will be inserted into the texture but it will inherit the new palette data, having your mask color in the correct location in the palette and in the texture.
Hope this works for you.