I used to love the fur filter. Have a tutorial I did on it floating around somewhere... I think that most of the time one can tell when the fur filter has been used, the edges are obvious. Specifically I layer it like peter said. But I also apply it on an upper layer and then make it semi-tarnsparant so that is isn't so harsh. Varying the transparancies makes it softer. Then I comb it out a bit, don't want it to look like the Fur filter has been used at all...

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I do not feel obliged to believe that the same God who has endowed us with sense, reason, and intellect has intended us to forgo their use.
-Galileo