For a very small puzzle, I proceed as follows: after creating the pieces individually and assigning them a slight 3D fx, I place a copy of the photo inside each of them.
It's then possible to move one of the pieces.
If I want a ghost image of the moved piece, I duplicate it before moving it, remove the 3D fx and reduce its opacity.
For the background, I place a very light grey square under the pieces.
I've attached a very simple example of four pieces, with and without ghost image.
I'm well aware that this method can't be used for large puzzles, as it requires a lot of manipulation, but I'm just adding my voice to the discussion.