Use this script as a droplet, then easily drop your TIFF files onto the droplet, and PhotoShop will apply the alpha channel, and save the file as a psd.
I created this because I was constantly rendering files from 3DS Max with Alpha channels. Rather than having to open each file and apply the alpha channel, I created this script to do it quickly. I chose to do it this way because the transparency from PSD files is picked up easily in other Adobe programs like InDesign.
Download the script. Go into Photoshop. Create an action that calls the script. Then go to File, Automation, Create Droplet and select that action. A droplet will be created. Now whenever you drop a TIFF file with an alpha channel onto that droplet, the channel will be applied and you will have a shiny new psd file!