An easy way to make alphas in Photoshop:
Make your imagery on a transparent background. Use as many layers as you like.
When you are ready to export, link all the layers merge them [CTRL-E].
You will have a single layer, with transparency, that holds all the stuff of all the other layers.
CTRL-click this layer in the Layers palette.
Go to the Selection menu and choose "Save Selection".
By default, your selection saves as "Alpha 1", the alpha channel you wanted.
DESELECT [CTRL-D]. This is important for the next, optional step.
I do this a lot for 3D models, and I find I also have to go to Channels, click the Alpha channel, and CTRL-I to invert it [changes blacks to whites and vice versa]. That's only becuase I forget which way it's supposed to be [black is transparent, or white?], so I want you to know how to invert the alpha, just in case. You must deselect before doing this, though.
Click back on your layer in the Layers palette, and save to 32-bit TGA, NO compression.
Hope this helps,
MoonCaine