Using a mask in PS then either painting in or out the amount of adjustment you want - depending on whether it's a hide all or reveal all mask - would be a good way in Photoshop. Using the Refine Edge on a selection in PS wouldn't, I don't think, give you the type of feathering you want.
You could also use the Quick Mask, start at a low brush opacity, brush in a larger area then gradually brush in a smaller area building up the mask. You can then apply your adjustment layer to the graduated quick mask selection.
The other option, since you're familiar with LR would be to use the Adjustment Brush in Lightroom. It's a terrific tool for this kind of work. You can adjust the brush size, opacity, density, strength of the adjustment (Saturation, Brightness, Sharpness, etc.). ACR in PS (CS5, maybe CS4) has the same type of Adjustment Brush, so you can re-open your image in ACR (simple if you use Smart Objects) and do it that way.