I recently needed to save out a volume texture and it wasn't readily apparent how to do this. The most likely ways seemed to be a strip or a series of square layers. I tried both and neither worked. I kept ending up with just one level of depth in my texture. The trick it turns out was to use a horizontal strip (I had been trying a vertical strip). For instance if you want a 32 x 32 texture with 4 levels of depth, the texture should be 128 wide by 32 high. When you save make sure to choose Volume Texture in the DDS options that come up. I also turn off mipmap generation.
The thing that bothers me about not being able to find the solution quickly is that it should have been simple. When choosing Volume Texture in the save options, a hint could have popped up, or been placed next to the selection box. Or even better, three possible ways to create the texture seem obvious. You could have a vertical strip, a horizontal strip, or use layers. Why not just program it to work with all three. Just putting in a little more effort to polish the feature would make the option much more user friendly.
