When adding a moon into the sky of another image, change the layer blending mode to Screen for a more realistic view. Using screen mode also eliminates the need to select the moon from it's original background. A minor touch up of the moon layer outer edge may be necessary if the background isn't pure black. This can be done with a layer mask, erasing the edge of the layer, or adjusting levels.

forum discussion: http://forums.dpreview.com/forums/readflat.asp?forum=1006&thread=39159925