I had that to when I was doing this some week ago...can't remember now how I did it. Basically just opened the .TGA from the SH3 360 bearing tool, dragged that over (Alpha Channel) to the already opened SH4 "NSS_Balao_shp" or what ever, re sized it to fit the "360 tool" and that was it. Saved all as 4:4:4:4 and it worked. But it seems that DXT5 ARGB (Interpolated Alpha) also works, so if it works for you guys that's it !!!!
Again the Link is
http://files.filefront.com/360_degre.../fileinfo.html