Repeat Steps Four and Five until you have borders on all sides. Chances are you’ll end up with more than four border layers, as each side may require more than one piece.
If you wish, you can put the borders into a Group (folder) so that you can show or hide them in one step. To do this, select all the border layers (by Shift-clicking on the first one, then Shift-clicking on the last one), and then in the Layers palette’s flyout menu, choose New Group from Layers.
In order to add layer styles to our borders we have to merge them together (otherwise the white backgrounds would come into play). In this example, I duplicated the Group so that I could keep the separate border layers in the original and have a copy in which I could merge the layers. After copying the Group (by choosing Duplicate Group from the Layers palette’s flyout menu), I selected the border layers in the Group and chose Merge Layers from the flyout menu.