In the past I have used .mov compression with PNG compression to store video with an alpha layer. This works okay except for two issues: Quicktime gives slow render and timeline preview. There always seems to be a bit of a black halo around the subject edges.
I just tried something new (to me at least). Instead of saving as an alpha layer I just saved with a generated pure green background from the Sony media generator. I used the Sony chroma-key filter which does a really nice job of not having transparent bits within the subject but has an unfortunate black halo around the edges. Now when I want to use this, I just insert the New Blue chroma key filter and shrink out the halo. One setting works on all the clips and it seems to preview and render quickly. Anyone else using this approach? It seems more practical than using a real alpha layer.