Just invoke the :change-window-alpha command on your window. Pass a negative argument to decrease the alpha value (increase transparency), or a positive argument to increase the alpha value (decrease transparency). This command is bound in a transient keymap, enabled by Win + A, in the example config.

To automatically set the alpha value for selected windows:

(:add-hook (in jwno/context :hook-manager) :window-created
   (fn [win uia _exe _desktop]
     (def class-name (:get_CachedClassName uia))
     (when (find |(= $ class-name)
                 ["Emacs"
                  "ConsoleWindowClass"            # Console windows
                  "CASCADIA_HOSTING_WINDOW_CLASS" # Windows Terminal windows
                  ])
       (:set-alpha win (math/floor (* 256 0.9))))))

It will set the windows with the specified class names to 90% opaqueness (10% transparency).

Note that not all windows' alpha values can be altered like this.