Is it possible to save a layered PSD file in LR and preserve the layers?

I have opened the file into CS4 from LR (clicked edit in CS4)>added layers> saved as PSD>closed.

The PSD file in bridge has the layers but the file in LR does not.

Are there more buttons to push?

Would I be better of using LR for general PP/converting Raw to PSD> then export PSD to another folder and the use bridge when saving more serious PP work with layers as I'm used to doing.

Sorry to pester you again; I don't want to give up on lightroom as there are parts I really like.