Clipping paths - outer and inner problem

Mac G5 OS 10.4.11 CS4. - I have an image of a box shape paper clip I wish to have as transparent backgrounds and use in magazine articles. I make a clipping path on the outer shape and it works fine saved as a JPG (see attachment) but I also want the enclosed inner part of the paper clip to be transparent so that when I position it over an image in a magazine it looks as though it is attached to that image.
I made the outer path and then made an inner one - ie. 2 paths on the same layer (tried separate layers still did not work) but the paths will not act as a clipped path together. Tried saving the file as a straight EPS with transparent background and that did not work either. What am I doing wrong?

Mike - I had always thought that EPS was the only successful way to support transparency and your advise on using PSD or TIFF is one I will add to my armoury when memory is not an issue. Like you I thought JPG and transparency ware incompatible, but working on contract at a publishers recently a young graphic designer fresh from college said he always used JPG for clipping paths. So thinking he was wrong I tried it and was surprised to find it does work, I have no doubt you are as sceptical as I was and will try it for yourself. Thanks for the relpy.

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