If you create a blank layer underneath the layers you want to merge, select them all, and then go to merge selected (I think this defaults to ctrl-E when you have multiple layers selected) it should merge them with the correct transparency settings.
I think I know exactly what you are talking about. and what I do is bust this out ctrl+a (this selects everything) then ctrl+shift+c (copies all the layers into one image) then ctrl+v (pastes) It copies everything you have on the document and then will paste it all on top as a new layer. Hope it helps... Added: Also make…