1) Go to Composition > Make Movie.
2) In the Render Settings choose "Best".
3) In the Output module choose Lossless.
4) Click on the hyperlinked text "Lossless" to open the settings.
5) In the Video Output section, under Channels, make sure that RGB & Alpha is selected to output your movie with an embedded Alpha Channel.
6) If you want to output a matte as a separate file, choose Alpha.
If you are going to all this trouble it makes sense to also save this as a template for future use. Name it Lossless + Alpha. Then you can simply select it from the menu (or even make it a default).
Hope this helps!
Angie Taylor animation & illustration for television, film, web and devices