Place them in the ZStartup/Alpha folder and they will appear at the bottom of the Alpha container under the default program Alphas.
The default program Alphas live in the ZData/Alpha folder, but you don’t want to mess with these. From my understanding it will effect your programs performance if you add to this folder (someone correct me here if I’m passing along incorrect info on this here.)
Your other option is to put your Alphas in Lightbox. This is done by putting them in the ZAlphas folder. If you don’t have this folder when you open the program folder, you can just create it. Place alphas there and go to lightbox and hold down shift and double click on the alpha image to send it to your alpha palette.
Note if the alpha gets sent to the texture palette its because its not a true greyscale image (its and RGB image). In this case just go to the texture container on the left of your workspace and click “Make Alpha”. Don’t forget to then export that corrected alpha thru the alpha palette into the folder you placed the RGB version. I’d then delete the RGB version from the folder to keep things simple.