You NEED Photoshop CS to make transparent symbols (maybe it will work with other programs but DONT ASK ME HOW).
After you create your symbol (32 x 32 pixels), click on the CHANNEL tab in the bottom right corner. Right-click an existing channel, select Duplicate. Enter "Alpha 1" (without the quotation marks of course) as name. This will create the transparency mask. Everything that is BLACK in that channel will be transparent.
When you are done creating the Alpha 1 Channel, save the symbol as "TARGA" file. It's name should be something like "symbol.tga".
Then rename this file to "symbol.bmp", move it to your KnightOnline\symbol_us folder, and enjoy.