This is on GIMP, and Photoshop is just an easier version of it tbh, so yeah, it should work, if you can find the options and stuff s:
First, get the wrestler you want in GIMP/PS/Whatever.
Then, its Layer > Transparency > Add Alpha Channel, then Cut. It'll make the background of the wrestler become... nothing.
Finally, move the wrestler onto a blank KyKy. Hey presto, it's done.
I believe Magic Wand should be able to select the background and stuff as well.
Not used PS in ages though, so I don't know if GIMP and PS has the options set up in the same way for sure, sorry.
I can attempt some of these I guess... even though I don't like using the KyKy Background and prefer normal stuff, saves time as well. Still, I can try some.
Ok Photoshop seems to confusing to me! I'll give GIMP a try ^^