I like to use a blue/red/green screen for my back ground or foreground and then chroma key it(selectively deleting colors based upon variables). This works really good with ZB, since it does not export alphas. It takes a little more thought when you create your painting, but if you keep strickly in mind with what you are doing, you can make some really cool stuff! I hope this gives you a little direction.
Just make sure you create the Blue/green/red screen as a different layer. This is best used for a background layer, so you can add animated skies behind the image, and composite anything over the ZB image, if you use blue screens etc. 
<font color="#949494" size=“1”> December 06, 2002 Message edited by: sirquadalot </font>
Second edit, try working with the blue screen thing but also work at twice the resolution of your final output.(this anti aliases the image really well!) Basically cut the image size in half but make sure the dpi doubles. ZB 1.5 makes this simple to do. ZBrush is limited to 72 dpi. When you work at twice the final output and then reduce it by half, while painting a certain contrasting background color, you should be able to composite it correctly, depending upon all the wonderful variables out ther. HeHeHee!

<font color="#949494" size=“1”> December 06, 2002 Message edited by: sirquadalot </font>