This is a classic computer graphics problem -- what you'll need to do depends on your specific model and need, but transparency is as you've discovered order dependent -- as Nico mentioned, if you sort entire meshes back-to-front (draw the back ones first) for each frame, you will be okay, but what about curved surfaces that need to draw sometimes in front of themselves (that is, they are self-occluding from the camera's point of view)? Then you have to go much farther and sort the polys within the mesh (adios, high performance!). If you don't sort, chances are, the order will look correct on average 50% or less of the time (unless your model is posed just right).
If you are drawing transparent cones, as they rotate to different views they will look correct sometimes and wrong other times, if two-sided rendering is enabled. Most of the time wrong.
One option is to just turn off depth-write buffering during the pass(es) where you draw the transparent items. Again, YMMV according to the scene's needs, but this can be a useful fix in many cases. Another is to segment the model and sort the meshes.
In games, many strategies have been followed, including re-ordering the models by hand, forcing the artists to limit transparency to certain passes only, drawing two passes per transparent layer (one with transparent color, and another with opaque but no color write to get the Z buffer correct), sending models back for a re-do, or even, if the errors are small or the action is fast, just accepting broken transparency.
There have been various solutions proposed to this general problem -- "OIT" (Order Independent Transparency) is a big enough topic to get its own wikipedia page: http://en.wikipedia.org/wiki/Order-independent_transparency