Since Layer Effects were first introduced in Photoshop—I think in version 6—their relationship to the layer they're affecting has always confused me.
For example, as soon as you apply an effect like a Drop Shadow or Bevel and Emboss, the effect is married to that layer alone. You can't select a second layer and say, "Hey, do it to this layer too.
Instead, you have to right-click on the Layer Effect, choose Copy Layer Style, then right-click on the second layer and choose Paste Layer Style.
Okay, they're married. A team. Understandable.
But when you scale a layer (Edit -> Transform -> Scale or Edit -> Free Transform), only the original contents scale, not the Layer Effects you've applied. If you scale a layer down to a tenth of its original size, its original Drop Shadow layer effect ends up looking enormous. Why is that? I thought they were a couple.
Here are a couple ways you can scale your Layer Effects to match the scale of the layer they're affecting.
It's easy to miss, but there is a "Scale Effects" command in Photoshop. You can find it by right-clicking on the Layer Effects dropdown menu next to the layer in question, or from the Layers menu itself (Layers -> Layer Styles -> Scale Effects).
Choose the command to get a simple dialog with a percentage slider and a Preview checkbox. Use the slider or type in a number in the percentage field and you can see your layer effects grow or shrink appropriately, while the layer content itself remains the same size. In other words, the opposite of what I described above.
If you've applied more than one Layer Effect to the layer and choose Scale Effects, all the effects scale as a group. You can't single one out for special treatment.
I normally do this by eyeball, but Shangara Singh, ever-so-helpful Photoshop pro, provided a nifty tip on the Photoshop listserv recently: When you scale a layer, the Options bar across the top of your monitor gives you a readout of the amount of scaling you're applying. It goes away as soon as you confirm the Scale transform, so keep an eye on it and memorize it.
Enter that same number in the Scale Effects dialog to get the layer effects to match.
Lift and Separate
If you're positive that the Layer Effects you've applied are final — that you'll never need to edit their settings — you can separate them out as actual layers, and link them to the layer they used to affect.
As you know, linked layers transform in tandem. Select the artwork layer, scale it, and the others (the linked effect layers) go along for the ride.
To convert Layer Effects to regular layers, right-click on the layer effect dropdown menu and choose Create Layer, or go to Layers -> Layer Styles -> Create Layer.
Depending on the kind of Layer Effects you applied, your results may not perfectly match; but Drop Shadows are usually not a problem. Some of the effects get converted to grouped ("clipping mask") layers so they work correctly.
To link the original layer content with its emancipated layer effects, click in the empty box to the left of each layer you want to add to the link group. You'll see a little chain icon appear in the box when it's linked.
Now you can choose any of the linked layers, and when you scale it, the others scale along with it.