Can't render video with transparent background in AE

I've watched all the youtube video tutorials and follow them, but when I render my video

and try to use it in another video editing program (sony vegas), the video is not transparent

but has a solid grey or black background.

Basically I went to File > Export > Add to Render Queue > clicked on "output module" lossless > changed format to Quicktime and Video Output Channels from RGB to RBG + Alpha.

That's what every video says.  When I click on render and view the finished video, it's got a solid background.

Any help please!