How to put items in layers?

If you have been using layers in vector graphics applications such as Adobe Illustrator or InDesign where you create a layer and then put things on it, like J E L said that works differently than in pixel graphics applications like Photoshop.

In Photoshop, a layer is a set of pixels, so if you want to add something to it you can paint on it or paste on it. If you paste or import (File > Place or drag & drop) a raw file into a Photoshop document window, it comes in as its own layer, so you don’t have to create a layer for it.

If you really want to work like you might in a vector graphics application, you could use Photoshop layer groups (folder icons). Create a layer group, then import a raw file into that group. It becomes a layer in that layer group, and you can add other layers (pixel layers, vector shape layers, imported graphics) to that group. 

There is also an “advanced” side to this too: Many of us do not want to rasterize raw files into pixel layers in Photoshop. We’d rather import a raw file as a raw Smart Object (File > Place Embedded or File > Place Linked). The advantage of this is that it avoids forcing rasterization of the raw file, so that you can continue to edit it using the full raw feature set of Adobe Camera Raw at any time later (by choosing Layer > Smart Objects > Edit Contents or double-clicking the raw Smart Object). You don’t have to do it this way, but those of us who do prefer it because it’s a nondestructive raw workflow that keeps our options open.