Is there any settled-on way of indicating a transition from one scene to another in mid-action (a character says something and it leads into a montage of him saying/doing similar things), or of showing a fade-out/fade-in transition.

I believe you should use the TRANS OUT type of notation at the end of the Action statement that leads to it, and then TRANS IN with a specific effect notation if it's important to the story. Here's an example:

****
(Action)
Trent falls back on the bed, confused and dazed, staring at the ceiling.

(TRANS OUT)
Fade to Montage

(TRANS IN)
Melt into

(Action)
Trent's ex-girlfriend SARAH is standing in the rain next to a lamp post, her mascara running down her face...

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NaNoWriMo 2006 - Doing Nothing With Style: Adventures of the Young and Listless - WIN!
Script Frenzy 2007 - Polly Versus the Family Curse - Miserable Failure
NaNoWriMo 2007 - Untitled, fail (in the hospital)
Script Frenzy 2008 - Mermaids in Bathtubs, working on it!