Nothing special at all. Just created the thing in Photoshop CC 2015 and did File -> Export -> Quick Export as PNG.
Example Image is Here (save it to photos directly from Safari on your iOS device). Both PSD and PNG are attached below. Thanks!
NOTE: Most of the issues people are having are created by iTunes destroying the transparency layer on the images. Instead, send the PNG to yourself in an email and use "Save to Photos" in mail, or save it from Safari to photos (in the example above).