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I am struggling to make a selection made of different layers.

For example, a button with text and shadow (each in its own layer). I would like to copy it to a image file but it is really hard to select the shadow with a pixel precision. I do not know how to perform such task properly so I use Marquee Tool. However, it is hard to get all 4 sides right from the first attempt. What's worse, I could not find a method to adjust a single side of a selection made by Marquee Tool.

Anyone may help what I am doing wrong?

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Use Guides to your advantage. Here's an article from Adobe that shows you how to set them up:

Rulers, the grid, and guides

Once you have guides setup around the button and its shadow (you can adjust them whenever you like), turn on Snap (View > Snap to > Guides) and then resume using the Marquee tool.

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