You can save an object with transparent background in a lot of different ways. But if you need to preserve the vector path used to cut it you need to save it as a PSD file or another format that can store that path.
Paths saved with an image appear when you open it again. In Windows, the Photoshop, JPEG, DCS, EPS, PDF, and TIFF formats support paths. In Mac OS, all available file formats support paths.
The advantage of using a format like JPEG for example is that the file size is very low (about 10 times smaller) as compared to a PSD file wich might come in handy if you need to transfer a lot of files over the internet for example.
When you use a pen or shape tool to create a work path, the new path appears as the Work Path in the Paths palette. The Work Path is temporary; you must save it to avoid losing its contents (renaming it will do). If you deselect the Work Path without saving it and start drawing again, a new path will replace the existing one.
Base image (courtesy of MorgueFile):

Here’s how you do it:
First click on the image below to open it in a new window. You will need it for most of the steps (the numbers on the image are the step numbers).
1. With the images layer selected click on the pen tool
2. Click on the Paths palette
3. Click on “Create new path” and rename the new path layer to save it (see introduction).
4. Select the new path layer
5. Click on “Add to path layer (+)”
6. Create the path arround the lock using the pen tool.

7. Create the path arround the key. After that you will only have to cut out the hole in the key witch takes us to step 8.
8. Select “Substract from path area (-)” (see in the large image) and then create the path arround the key hole.
9a. You can now save the image in JPEG and Photoshop will include the path automaticaly. The image below has the cut-path in it. Open it in Photoshop to see path (you need to use “Save As”, you cannot get the path with “Copy Image”).

9b.Alternitavely you can cut-out the object by clicking on “Load path as selection” and then hitting Ctrl+J.

10. Enjoy!


