This just started to happen and I'm not sure why or is it just a Solidworks 2009 thing. When in an assembly I change a parts transparence and then select edit so I can modify the part. Normally I do this so I can add screw holes and get to the part under the one being edited. After I do a set of holes and exit the hole wizard with the idea of starting a new set of holes in the same part the part changes transparency back to solid. The only way to get the part back to transparent is to exit the edit mode which switches the part back to transparent all by itself and then start a new edit.
Guess I'm missing something or you did. The transparence is fine for the first edit then it changes to solid in the middle of the edit.
For example I follow this sequence.
Part A on top of Part B
Change Transparence of Part A
Edit comp on Part A
Select part A surface
Select hole wizard
Add holes....
Close hole wizard.
Open hole wizard again
Now the part just went solid.
Can not see Part B to add holes.
Close hole wizard
Close edit
Part now is Transparent again
Select edit part A again and do second set of holes.
OK, it was me missing something. Following your steps, I can reproduce the problem in SW09-SP4.1
Are you making Part A transparent to allow selection of features in Part B?
A workaround, is to change the transparency at the component level (this can be done from within the assy). The transparency is then maintained as expected.
I usually just switch to Wireframe or HLV.