I've taken to, not only using custom layer sets (PITA to define, but you do it once for one board and copy the settings..), but using Favorite filters (Y key is it?).
The only problem there is...
If you call up a filter, it'll do whatever the default setting is, like mask filtered objects. But not make them unselectable... So I have to go to the Filter panel, check that the correct checkboxes are set (all objects, mask and dim..) and click the filter button.
After double checking it from the panel... Shift+C then filtering from the fav list again works correctly.
The filters by the way are such things as "OnTopLayer AND OnLayer('Inner Layer 1')", to complement a layer set that's, say, Top Copper, Inner Layer 1, Top Silk, and so on. So you only see, and are able to select, components on top, and the copper just below (e.g. for correct routing of high speed signals or low impedance rails over a not-100%-solid ground plane).
Tim