Also, there is a shortcut for creating a new layer while you are inside the Entity Info window.
You can just type the new layer name inside the Layer: field and press enter to move the selected entity into the new layer without having to create the new layer first.
Just us jiminy and Dave suggested:
A best practice is to draw all your individual entities on Layer 0 and leave them there. Only after you turn individual entities into groups or components you should associate those groups or components with different layers.
When you look at the Layers window the radio button should always be on for the Layer0 and never on for any other layer. Just use the visibility check boxes to enable and disable a particular layer visibility.