Depending on the version you are using, it is under "format", "styles editor" OR "color" (I think).
Chose the color, OR you can also choose a material that is already transparent like lexan or glass. If you choose a different color, I normally "save as" a different name (in R10). You should see the dialog box with "textures" and the four different colors that affect the appearance of the part. You will also see the "opacity" scale. Anything about 70% shows as opaque, 30-50% will be pretty transparent. Hit "apply" or "save" and the part should show the new property. It SHOULD update in the assembly automatically and stay that color unless you override the color in the assembly.
