Round them the way you want it with the gray and white squares showing, then save as a "png" file. It will ask you if you want to filter layer it or something. Say yes to that.
I think if you are trying round corners on rectangles, it is just a sub-selection on the rectangle tool. Like selecting magnetic lasso from lasso or magic eraser from eraser. Is that maybe what your looking for?
Well I just did what I told you to do; I might be confused about what you are trying to do. Is this what you’re trying to do? I am a little nervous posting this with your TM after your handle, but I will remove it if you ask me to. I don’t mean to steal your stuff, just trying to help out.