Every time I import a file with an alpha channel, I have to manually change the clip properties. Is there a way around this?

After right-clicking the clip and selecting Properties, switch to the Media tab, choose the proper alpha channel and the click the floppy disc icon next to the the "Stream" dropdown box.

From Vegas online help:
If you frequently need to edit the settings for a type of video file, click the Save settings to video profiles for future auto-detection (floppy disc icon) after editing the settings on the Properties dialog.

The new settings are used whenever a file of that type is detected.