In a recent Tip of The Day, we talked about Saving Selections, and how they can only be saved in .PSDs or .TIFFs. But there is a workaround if you wanted to save a selection in a .JPG file.
First turn your selection into a work path by right-clicking on your selection and selecting Make Work Path… (while using any of the selection tools). Then save your JPEG with the newly created path. When you open the .JPG file again, open your
When you open the .JPG file again, open your Paths panel and click on the path to activate it, then load the path as a selection by clicking on the Load Path As a Selection icon (at the bottom of the Paths panel).
This is only a partial workaround since soft edges will save as hard edges.