I can't see any of the images you posted. I'll be able to help you with this in a few hours.

Also, I just found out you can also change it back to .smd from the scene panel as well.

I don't think that dmx matters (it should work the same). However you can choose your folder location export settings from the scene tab: https://dl.dropboxusercontent.com/u/10100459/BlenderImages/smd_export_output.jpg

Check this out: http://forums.steampowered.com/forums/showpost.php?p=34536858&postcount=2460

This is a little tricky:

In blender you will need to assign 2 seperate textures (one texture will correspond to your base model and the other will correspond to the faces you wish to be transparent). You can do this using the material editor: https://dl.dropboxusercontent.com/u/10100459/BlenderImages/blender256_material.jpg

Make 2 new materials (give them names), and then assign the vertices to the corresponding materials. Export your smd when you are done.

In the TF2 importer, when you load in your smd file, you will notice an additional texture option. Load in your texture as you would normally, but for the second texture make sure to use the appropriate transparent vmt settings:

• Check the additive box
  
• Check the translucent box
  
• Change the phong exponent to 65 and the phong boost to 6

Watch the first 45 minutes of this video: http://www.youtube.com/watch?v=-X5QGx2TP_8

The last 15 minutes are outdated.

Doesn't look transparent to me. It looks like your normals are flipped. 3D faces can only be textured from one side (usually), so normally what you want is for the texture to be facing outwards. In your case it appears that your texture is applied to the reverse faces. This is easily fixable. In blender, recalculate your normals as described above (you can check to make sure your normals are correct by going into texture mode and seeing if any faces are textured backwards). You can also manually flip your normals for certain faces by selecting the faces you want to flip and clicking "Flip Direction" under the Normals subheading in the Mesh Tools toolbar (in edit mode).

When you say transparent, do you mean that you can partially see geometry? Or is it completely invisible? If it's completely invisible, recalculate your normals in Blender: ctrl+n to recalculate normals. Then re-export as a .smd.

Gimp must be the problem. It's gives so many problems with alpha channels-- it's unreal. Did you try exporting your image as a .tga but making sure to uncheck "RLE compression"?

Hm... everything looks right to me. Is your hat paintable? If it isn't, make sure to uncheck the "Paint VMT1" option in the previous screen. Otherwise you might try enabling the "Base Map Alpha Phong Mask" option.

Lastly, you can try saving your .tga file without an alpha channel (and save it as 24bits/pixel).