How to create a soft edge on a photo

[PaddleHard]

Greetings,

I have a question on how to create a soft edge on a photo, but I want
to blend that photo on a custom color background. I have this photo, I
used the ellipse marquee tool to select the part of the image I want
to use and have choosen the feather and pasted the final image into a
new document. The edges of the photo come out white. I would like to
blend this image into an Illustrator document I'm working on and it
has a red/orange/yellow gradient for the background. When I tried to
create the same gradient in photoshop, it worked great. The only
problem is that the image is now covered by the gradient (foreground =
red, background=orange). The image with the white edge is on it's own
layer, separate from the gradient.

Any suggestions on how to create what I'm trying for?

Thanks,
C