Third Country Nationals

What is the proper way to set up Third Country National employees.  We are a global company with a lot of third country nationals t hat we must maintain payroll data.   WE currently set the National/Fiscal Tax Method to a 6 to exempt their income from taxes.     Our problem is that when running 941 and W2s we do not want to include the TCNs.  We have the 941 excluding Tax Hisitory Method (THTY) = 4   but the W2s are run based on the EE Master which may or may not be currently set to a 6...  How do other companies