No, not just shift-selecting. You may want to learn about layer groups. Select two or more layers and choose Layer > Group Layers, and they will appear in the Layers panel inside a folder, just like organizing files within a folder on your computer desktop. When you do that, you can treat the folder (group) as a single entity. And yet, just like files inside folders on the desktop, the contents inside the layer group are still separate layers.
Linking layers is the way it used to be done years ago, but since Photoshop added layer groups those are much more useful now, and it sounds like it's what you might want.
