Best Shader for SpriteManager in 3D Scene?

What shader is best to use for my SpriteManager object when drawing sprites into a 3D scene?

I am currently using Particles/Alpha Blended, but when rendering multiple sprites (using the same spritemanager) they are not z sorting properly in my 3d scene. This is confusing, because they still scale properly as they move away from the camera, but again, distant objects often draw in front of closer ones.

I think I read that this shader doesn't take into account depth perhaps, but what will, and work well for these purposes?