Layer Effects are a really powerful set of tools for creating quick effects applied to pixel information. Most people think of them in terms of typographic or design-y uses, but they're an absolutely essential component of a high-res photo realistic retouching workflow. Follow this trick to free them from your layer stack and add endless flexibility.
Drop that Fill
My preferred method is to create a masked Color Fill Layer based on whatever shape I want the layer effect to be. Reduce the Fill - not the Opacity - to 0%, and watch as the Color Fill disappears and the Layer Effect remains.
By reducing the Fill to 0%, you're telling Photoshop that you don't want to see what's IN the layer, but you're cool with retaining the Layer Effect that's been applied TO it.
By applying the Layer Effect to a mask, you're keeping all of the flexibility that comes with a mask - the ability to Refine Edge, change the shape of the Layer Effect by painting on the mask, and smudging or feathering the mask edges manually.