Howto get surface transparency without using textures

I currently use positioncolorednormal format primitives to draw buildings.  I would like to have the primitives display a user controlled amount of transparency.  I am not using any textures, only 3d primitives with a color at each vertex and a normal at each vertex.  I have tried setting the alpha component of each vertex to <255 but that does not seem to have any effect. I am using DX9 and VB.Net on a XP box.  See some code below.

Dim tempSurfBuffer As New ArrayList

            'create the surfaces
            For Each msh As _Mesh In LayersCollection.Meshes
                msh.Render(tempSurfBuffer)
            Next
            For Each bld As _Building In LayersCollection.Buildings
                bld.Render(tempSurfBuffer)
            Next

            'create a surface buffer
            surf_verticies = tempSurfBuffer.Count * 3
            If surf_verticies = 0 Then Exit Sub
            vertexBuffer = New VertexBuffer(GetType(CustomVertex.PositionNormalColored), surf_verticies, device, Usage.WriteOnly, CustomVertex.PositionNormalColored.Format, Pool.Managed)

            ' Setup the vertex buffer
            Dim verts As CustomVertex.PositionNormalColored() = CType(vertexBuffer.Lock(0, 0), CustomVertex.PositionNormalColored()) ' Lock the buffer (which will return our structs)

            'pass the privitives
            Dim tri As Triangle3D
            For i As Integer = 0 To tempSurfBuffer.Count - 1
                tri = CType(tempSurfBuffer.Item(i), Triangle3D)

                verts(i * 3).SetPosition(tri.p1)
                verts(i * 3).SetNormal(tri.n1)
                verts(i * 3).Color = tri.c1.ToArgb

                verts(i * 3 + 1).SetPosition(tri.p2)
                verts(i * 3 + 1).SetNormal(tri.n2)
                verts(i * 3 + 1).Color = tri.c2.ToArgb

                verts(i * 3 + 2).SetPosition(tri.p3)
                verts(i * 3 + 2).SetNormal(tri.n3)
                verts(i * 3 + 2).Color = tri.c3.ToArgb
            Next

            ' Unlock (and copy) the data
            vertexBuffer.Unlock()