You NEED Photoshop CS to make transparent symbols (maybe it will work with other programs but you will have to figure out how by yourself).
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 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.