Having used Paint Shop Pro 8 and other graphics packages, I'd like to say a few things:
There is no need to paste as a new image. Simple promote the background layer (gives an alpha layer), select, invert, then press the Delete key on your keyboard. In Paint Shop Pro I tend to prefer using the Background Eraser Tool since it has smarter tolerance and can, to an extent, auto-detect the edges of the shape. The Magic Wand comes with most graphics packages, though it can also be pretty useful.
If you use the Magic Wand Tool, modifying the selection can provide some interesting results. Feathering a selection will make it smoother around the edges, and you can expand or contract them to adjust their thickness. You can combine a selection with the brush or preset shapes (raster), or flood fill on an empty layer in order to fill only the selection. Experimenting with selections can yield interesting results.