Both approaches are valid, tho the resulting flexibility of usage is different.
Vector Graphic approach
You can use any vector design software to create a Enhanced Metafile (EMF). I would use Inkscape, but Adobe Illustrator and Corel Draw are able to create this files too. Remember to transform any Fonts in Outlines.
To use the emf file as a Marker Symbol, you need to choose Picture Marker Symbol Type in the Symbol Properties, and to browse the emf file.
Pros: Very simple processing;
Cons: You can not change the symbol colors in ArcMap, for that you need to create a new emf symbol.
Vector Graphic approach
Using Inkscape and the Online Font Converter you can follow this tutorial made by cleversomeday blog to produce a set of Fonts to use in ArcMap to create simple or composed marker symbols.
After installed In your computer you can use it as character marker symbol type.
If you need to create composed symbols, take special care with the size and alignment of the several fonts, so once in Arcmap they correctly overlap in ArcMap.
Pros: You can reuse the same symbol (font) with different color without changing the original file, making it more suitable to use in composed symbols;
Cons: It's a more complicated and time consuming process. It's difficult to create symbols with many different colors (ou need to create one font character per color)
How to decide what approach to use?
It depends of your needs and available time. If you are in a hurry to create a fast symbol or you know that you wont need any color variations from it, go for the EMF creation (Try to keep all your emf files in one folder, or you can very easily forget where is the original EMF file that you use in a certain project).
If in the other hand, If you have time and want to create a set of custom symbols to use in composed symbols, in many different projects and with infinite color and order combinations, you should go for the font creation.
I just tried adding two shapefiles (one polygon over the top of another which was lines) to ArcMap 10.0 SP5. The polygons were displayed using a solid fill.
I then adjusted the transparency of the polygon layer using both the Layer Properties and Effects toolbar methods described in Setting layer transparency.
In both cases the symbol used for the polygons became transparent in both the map display and the Table of Contents.
I think you should describe your steps in more detail (be sure to start with a Blank Map) so that we can follow them to see where the software behaviour you observe deviates from what you expect.
Best Answer
The best way to import symbols in a map document is to use EMF format. This will maintain the vectors, allow resizing in ArcMap without loss of quality. Since there is no "background" to a vector drawing, it will appear correctly transparent in ArcMap.
Alternately, you can make the bitmap marker method work by filling the "transparent" background portions of your symbol with a key colour that does not appear elsewhere in your image be aware that using bitmap markers may adversely affect output quality.