[Zoner]

Proteus is right....well, sorta. You coulda elaborated a bit, but I digress.

Create a new image, but instead of using a solid colour as the background, use a transparent background.

Create your sig as per usual and change the Mode to "Indexed Color". This will set the image up in the correct format for saving as a .gif image.

Now, mind you, when you set the mode to indexed color, you're going to lose some image quality. Shadows and blurs on edges will look shitty. Make sure you use clean lines on any edges that will cross the transparent section of the image. This will ensure that the edges won't look aliased (i.e. pixelated and shitty).

Save your image as a .gif and you should be good to go.