Good question... I'm thinking using invisible collision masks (invisible sprites?) with the collision polygon set to your desired shape and then, as sqiddster indicated, put the pretty stuff on top.
I too am up against this problem. So far, I've only been able to solve it using tons of sprites whose Opacity is set to zero.
The ideal solution would be to make a png of a hill or wall or whatever, and use that- except when I bring the png in, the player collides with the whole image. I tried going into the animation editor and changing the collision area, but it only gives you 9 vertices to play with.
I'll keep searching, but if anybody has discovered how to make the png collision map work, I would love to hear about it!