Jcl,
I did another search and found 3-4 other users who had mentioned the same, exact problem over the past year. I have also found that particles draw in front of *anything* that is using transparency - models, sprites... - not just other particles.
I understand that the aim is to make the particle effects as fast as possible and they certainly are - in my case, though - I would take a speed hit to resolve the problem.
Let me be the first to officially request an option to have sorted particles that play nice with other entities using alpha transparency.

Can I ask, how slow is it going to be if I try to make my own particle effects using regular sprites? 50% as fast, 25%, don't waste my time?
Could a dll take advantage of the zbuffer and use a custom particle engine as fast as the native A6 particles, but with the sorting?
I tried the sprites and models with transparency some time ago, I'm not ignoring your suggestions at all. I will look into them again. What is disappointing is earlier today I thought - after several months of free hours here and there - I was about 95% home in developing a working prototype and was preparing to make finished levels. Honest to God, I had not noticed this issue before then, so you can imagine my surprise.
Thanks, Ron