If you have access to the Alphas Channels you can mark them up as a separate piece of your work. If you don’t have access (are using PSE) you would have to load the Alpha Channel as a Selection (Select/Load Selection) and work with it as a Selection. You can make changes to the Selection and then resave it as another (or possibly the same) Alpha Channel.
So, what are Alpha Channels used for? In the case of today’s image it’s so the individual pieces of the puzzle can be worked on one at a time. There’s the ball, the bat, the batter and the catcher. The and the ball bat are moving so fast that they’re blurred. The shot was made at 1/500th of a second at F 5.6. That shutter speed was enough to freeze the catcher completely and all but the hands of the batter. We have two elements with sharp focus and two with blurred focus. I’ll treat the two sharply focused pieces differently than the two unsharp pieces.
That starts with how the Selections are made. The Quick Selection Tool (W) makes short work of the static elements. The Elliptical Marquee Tool (M) does a better job on the ball. It can be Feathered to produce a soft Selection. The Polygonal Lasso Tool (L) is a better solution for the bat and basically for the same reason as the ball. It can be feathered to give an illusion of speed.
By isolating the elements, finer control can be applied to each. Working directly on the Alpha Channel you would be able to see the effect being used. Working on a Selection provides a little less visualization. You can get some of that back by switching the Selection to Quick Mask mode.
My recommendation would be to play with Save Selection and Load Selection. Make a Selection, save the Selection, Deselect your Selection and go on to other things. When you need that particular piece of your image go to Load Selection. Put it back up and do what needs to be done. You can think of it as saving something to a permanent “clipboard”. If you were using a word processing application and you needed to insert the word “Connecticut” in several places in the document, as long as you don’t make any mistakes, you could keep hitting CRTL V whenever you needed the word. The Save Selection and Load Selection is kind of like that. Use it when you need it.