When ever I make graphics in PS to go into Construct, I just make all layers invisible except the layer I want to import. Then go 'save for web and devices' then save it as PNG. Then I just load that image with a sprite, and it's as it should be.
Step into the magical world of Photoshop scripting, my man:
http://www.kirupa.com/motiongraphics/scripting6_2.htm
You need script support! Run a script, and export all of your layers to separate .png files in a tidy little folder and numbered for your convenience. It's a GODSEND... trust me, you won't know why you went for so long without it
I think CS and above comes with scripting capability already, but if you need the scripting plugin for PS7 you can grab it here.