Experiment with different effects if you like. My image's dimensions are 512 x 384, and I want my selection to be 15 pixels from each edge. This makes a selection frame around the image. If you click on the foreground or background colors, you will see that all the colors are shades of black, white, or gray. This is because masks are grayscale.
Flood fill inside the selection.
You will see shades of red as the fill. This is normal when the mask is being viewed. View Mask to uncheck that setting. You should now see the a fading transparency layer in the selection frame. I used a dark reddish color.