I haven't done any texturing, but I do know that you need to map out your UVs before you export it to photoshop. Once your UVs are mapped, you take a UV snapshot which is then saved in your images folder (I think). You then go into photoshop where you can open the UV map and then paint your textures.
I found this tutorial pretty useful:
I hope that it is ok for me to post this link.