I'm not all that experienced with AE, but it probably supports standards such as PNG (bitmap) and EPS (vector). Both these formats are lossless and support alpha transparency.
That's assuming you want to use it as a static object such as a watermark. If you want to animate it in some way, you should probably generate new 3D effects in AE instead. The IE 3D functions are pretty rudimentary, and I would guess they don't cooperate with other applications very well.
Again, not that experienced with AE, but thought I'd throw in my two cents since this forum isn't all that active.