Faded Black to White for album cover in photoshop with refined edge? help please?

Ok so im making the back of my Album Cover on photoshop, and i used the refined edge tool when i use the eliptical marquee, it looks exactly how i want it but i can never get it to actually stay that way, i need help please. can someone explain to me how, if needed i will explain every step i do, but i just need it to be faded with the refined edge look but its not staying.