Well, I'm guessing you're using those pics from the web, right? And you're copying, pasting, and using the magic wand tool? (Or something similar to the last step... to get whatever the background was away.)
Well, I think it's that you're still leaving behind borders of the pasted images. You're just gonna have to erase them better.
If I'm wrong... I feel like a noob. (Which I am.)
And, (this is highly unlikely.) are you doing the feather effect and stuff on the right layer?