I saw the tutoriales of S3B of how make it, but it doesnt work, I save the images in .jpg

You need to use GIF or PNG to get transparency, JPG/JPEG does not support transparency.

I was mean in wally, does that work?

yeh wally will do it, the last colour of the palette (number 255) must be blue RGB 0,0,255, and anything you want to be transparent must be drawn in that colour, oh and the name needs to be prefixed with a {

best open up a wad and see how its done.