I think I might be unclear on what you're looking for.
Do you want:
A) Transparency, the portion of of the control that is not taken up by the picture is completely see-through, such that you can see anything behind it.
B) Opacity, the entire control, image included, is rendered such that you can see through the image to what is behind, but the image on top is still viewable.
Your page title threw me off, I thought you meant transparency but on rereading everything in light of your latest post I'm thinking you actually meant opacity. Two different things, sorry for misunderstanding you.
I know you can control the opacity of the form itself, but I'm not sure about individual control. An alpha blend for a large picture can indeed be a fairly expensive operation if you do it every render cycle, but you might be able to do the blend on the image, render the result, and only update on a change.
Also, are you needing the control itself to be semi-opaque, or are you just wanting to lay two pictures over top of each other?