If I have more then only a layer in AI and I want to apply different PS effects to every layer, how can I do it?
Do I need to copy/paste every layer to PS separately?
Copy/pasting each layer to Photoshop is certainly an option. It will work. And in some cases is preferred.
The Export method
Another option is to export to .psd.
File > Export, choose Photoshop (.psd) from the drop down (and choose whether to use artboards or not) and hit OK
An option dialog window will open.
To ensure a good export you should always export to the color model your document uses. Meaning... if you're Illustrator Document Color Profile is CMYK, you'll want to export to a CMYK .psd.
Choose the appropriate resolution (screen-medium-high) and tick the "Write Layers" option.
I prefer to always check "Maximum Editability"
Which anti-aliasing method depends on the actual artwork so that's your call. And the ICC embedding is also your call.
Then click OK.
You should then have a fully layered .psd file.
For best results you should avoid using any transparency, glows, drop shadows, feathering, or blend modes within Illustrator before exporting. When you export AI artwork to a .psd which contains these effect, you'll find some layers in the .psd have been merged. This is intentionally done to preserve file appearance. If you don't want merged layers.. avoid any form of transparency in AI.
Cons: You only get pixel(raster) layers with the export. No other layer format will be created. The only caveat is text. Live text will often still be live text in Photoshop after the export.
The copy/paste method
There are benefits to the more time-consuming method of copying and pasting between the apps. By copy/pasting you have options to paste as pixels, shape layers, smart objects, or merely paths.
It is often much, much easier to work in Photoshop if you have pasted several shape layers rather than working on several pixel layers.
What I do when using this method is copy - switch app - paste -hit enter to commit, switch app and repeat until all the Illustrator artwork is in Photoshop. I can then move layers around in Photoshop to reposition things or select all the layers and scale them uniformly. By pasting everything one by one without altering anything, it ensures everything pastes into Photoshop at the exact center of the document and at the same scale it was in Illustrator. If I copy paste adjust, then copy paste adjust, I find that it's all too easy to have artwork that's completely out of scale or position when compared to layer composition in Illustrator.
Cons: You lose all fills and strokes if you paste as anything other than Pixels or Smart Object. And pasting as smart object is generally not desired since you want separate layers.