Selecting Multiple Layers

Where you click in the Layers palette matters. [Command] clicking the layer name will select the layer. [Command] clicking the layer thumbnail will create a pixel selection of that layer.

So, to select multiple adjacent layers you [Shift] click the layers (anywhere on the layer in the Layer palatte).

To select multiple non-adjacent layers, [Command] click the the layer name.

Rasterizing Layer Effects

1. Select the area that contains your image and effects (like a drop shadow) using, for example, the marque or lasso tool.
2. Do an Edit / Copy Merged. The shortcut key is Shift - Command - C.
3. Paste your selection where ever you need it.