This video by the webguru (http://webguru.info) will show you how to import a Photoshop file directly into Premiere Pro. Simple go to File -Import and browse to the PSD file.
You will see 4 options:
1. Merge All Layers, will flatten all layers into a single clip
2. Merged Layers, will flatten selected layers into a single clip
3. Individual Layers, each layer will be separate clip in Premiere
4. Sequence, each layer will be separate clip in Premiere AND the clips will be added to a sequence.