You can soften any hard edges on your selection by blending and smoothing. Simply click on the More Effects button on the Tool Settings panel and choose Blend Edges from the drop down menu.
Blending blurs the edges of the selection by creating a gradual boundary of opacity. Slide the bar to the right to increase the amount of smoothing. The numbers on the slider bar correspond to the size of the blurred edge in pixels.
Adjust blending
While the selection is still active, you can go back to this dialog and select Remove Blending to undo the smoothing effect you created. You can also just simply click on the Undo button on the toolbar or select Undo (Ctrl+Z) from the Edit menu.