I've printed successfully quite often on transparencies, and like Amanda said, one side feels rough. The coverage is usually very thin on the transparency setting. I wonder if you could feed the transparency through the printer several times after it dries, although it probably won't line up perfectly each time, would it? That's the only thing I can think of, besides using the glossy paper setting and not touching it until it's completely dry. I guess it'll take some experimenting
Maybe photocopying will work best, like Mary Ellen suggested.
I do hope you'll let us know if you figure something out, or maybe someone else has tried something like this and can help?