Ok, thanks! I'm still not seeing the transparency in game, but it could be the way i applied it in paint.net, so I'll see if that fixes it.
EDIT: The transparency problem was caused by the vehglass textures for the lights not being the last material in the materials editor. To fix it, first make sure to have the proper textures ordered and applied correctly, as BOVRILwares said earlier. Second, create a copy of the existing vehglass material that you made for the lights and simply assign the copy to where the original was applied. If everything turns out well, delete the obsolete original texture to keep everything neat and organized, and you are good to go! :)