Honestly, Illustrator is much better for lettering. HOWEVER if you MUST use photoshop, you do this:
Add your lettering. If your going with traditional circular bubbles, you want to remember to put the lettering in a diamond shape, with short lines on top and longer ones in the middle so that it fits nicely into the shape.
Another good thing to remember is that you can use more than one bubble, so don't try to squeeze something into one big bubble.
Once you've got your letters placed, use the oval selection tool to make your bubble. You can draw the bubble with the selection tool and then shift it around with the arrow keys (keep the tool selected) to make sure it fits. In Photoshop, unlike Illustrator, it's probably easier to just keep redrawing it until you get it the right size instead of trying to transform it.
Once you have your bubble, use the polygonal(?) selection tool (the one that selects by using points sort of like a pen tool) while holding shift to add the pointer to your bubble.
Once the bubble and pointer are both selected (and you are on a new layer just for bubbles, which should be between the art and letters layers), go to edit-fill and fill it in with white, then edit-stroke and put a black stroke around it.
Then go buy a copy of illustrator.
I LOVE BLUD BLOOD! - Rob Liefeld