Hi Janet, welcome to Gimp Chat!
Jpeg images don't tolerate layers, neither do png images. You can put your images in layers and save the file as GIMP's native format with an xcf extension and the layers will remain layers. However xcf files will not display.
If it's going to be animated, you must save it as a gif file. File > Save As ... be sure to select animation in the export dialog.
If you want softened and/or rounded corners you will need to use the Rectangel Select tool. Click the Rectangel Select tool in the toolbox, below in the dialog select rounded corners and change the degrees to something that you like.
The option to feather (soften) the edges is there too. You will need to experiment with that to see what you like.
After you have the settings like you want, you need to invert the selection so that you remove the edges and not the image. You invert the selection by holding down the Ctrl key and pressing the I. Press the Delete key after that.
Check your layers to make sure they all have an alpha channel. The names of the layers will have bold text if they do not have an alpha channel. Right-click the bold layers and select, Add Alpha Channel.
Good luck. Come back if you have questions.
