I think he means the feather option in the Tool Options window. Essentially, you're doing the same thing as feathering the selection after the fact, but if you set it in the tool options it presets the marquee to feather by X amount. Then you just select as usual. However, if you use ctrl+ A (command + A on Mac) it doesn't apply, you have to manually set the marquee. Then you just invert the selection (ctrl/cmd + shift+ I) and delete to get your fade.