I actually avoid merging layers as much as possible to make future editing easier. For example, what I would change with your directions above is after step 3 I would use the selection tool to select the transparent layer but use all layers. This would give me the outline of the bed including posts. I would then invert the selection, create a new layer and then fill it with whatever color. I would then use that layer to create the drop shadow and move it to the bottom. This would also give a nice appearance of height to the bed.
I always forget about that Satin Filter's usefulness. I really need to use that more often me thinks. Thanks for the step by step on the bed! I'll rep you when I can do it again.