@ DJ Ah, I didn't know there was a select on click option in PS! Must look into that! Thanks!
@Rev: I finish all the artwork without the labelling in Photoshop and then bring that into a vector program to label it, so the artwork is on layer 1 and the labels are on layer 2. If I need to tweak the artwork, I just replace the underlying picture. I do most of my mapmaking in Serif Drawplus, which is a Vector / Raster Hybrid, so I can do pretty much all of this in the one application, but sometimes Drawplus doesn't get exactly what I need, so I'll use PS.
you can klick RB on the layer and choos "rastr layer"
(I could translate not correctly these words, therefore I give a screenshot)
than you can unite layers as usual
photoshops text is also vector (unless you rasterize it) so it won't take up much memory and as Djespek said, you can click the option to "auto select" on the move tool so you automatically go to the correct layer.
With that said, I use photoshop for my in map texts, no need to go to Illustrator for that when you can bend and shape the text in photoshop without having to rasterize it. I make folders to keep the texts organized - the upper folder called "text", then as subfolders "mountains", "forests", "water", "countries" - and as a subfolder to "countries", "cities", "town", "landmarks" etc ...
Illustrator is one option when it comes to placing text, the text can be edited more easily and stays in one layer. Then again you would need the software for this..