You don't need to set your project in any special way, you just need to save the output image in linear format - EXR is perfect for that, not sure about PSD, i don't have photoshop - and also make sure that in your compositing software you are working in 32 bit format. If you'll meet those two conditions, everything else should work correctly. By the way, when saving to EXR, you can choose either 16 bit, or 32 bit, either will work just fine, as they're both linear. I prefer 16 bit as it's more economical.