I've tried before using Expression Design to add the "Drop Shadow" and "Outer Glow" effects to a created vector image, and tried exporting them to a Silverlight Project opened in Expression Blend.
Unlike WPF applications, these bitmap effects aren't supported by Silverlight, and I doubt they'll be including it in the presentation framework(applies for both 1.0 and 1.1 versions). Silverlight is meant to be a lightweight plugin, and the real deal, the 1.1 version that includes the CoreCLR of Silverlight, and is already 4.2 MB file size, and IMO, it should not go much more above that, and adding BitmapEffects should be pretty secondary to other stuff like data assemblies etc.
One more thing to note is that applying BitmapEffects in WPF applications utterly KILLS your processor, you'll feel the "lag" unless you're running on a PC with great specs. I don't think these built in effects should be used in a WPF application. Imagine if you use it in a Silverlight application....it won't be good.
Stick with bitmap effects using photoshops, and exporting them into bitmap images, transparent ones would do fine.