To get the lighting right, I decided I first needed to make the sea a lot darker, because at night there would be very little visible. To do this I decided to duplicate the sea layer and set the layer on top to Multiply, as this darkened the image a lot and also helped to reduce some of the brightness from the reflected clouds, as they were a bit too light before.
Although this helped to make the sea bluer and darker, it didn't really look like it was being lit from the sky by the moon. To achieve this, I found the best way was to add a new layer and use a gradient from white to a light blue, then set the layer style to Saturation.
This basically changed the shade of blue on the sea layer so that it was brightest towards the bottom of the photo and slightly darker at the top, closest to the moon.
This way, I decided to make a specific layer later for highlights, as it's easier to do if you have a single layer for each part of the image, rather than having to control shadows, highlights etc on a single one.
To create this effect I used a soft brush and painted a oval on the new layer, and set it to Overlay. Moving the layer around now was the easiest way of checking where the highlights/lighting looked best, because the luminosity would change depending on the light levels of the layers below.

Finally I decided that clouds were needed around the moon, as the area currently looked a bit blank with only the moon there. After a lot of searching I eventually found a suitable photo I had taken during a storm which had some good clouds in it. I erased the area where the sea and moon would be and was left with the following:

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I distorted this image a lot, and cut and replaced several parts of it so the clouds were evenly spread, because I didn't want them covering all of the moon or stars. After I had finished with the clouds I gave them a slight blue tint to match the rest of the photo, by adding a light cooling filter.
Finally, I looked at the whole image in great detail and made a few corrections to fix some pixellation (using the blur tool) and places where the lighting looked unrealistic (by changing the light levels for the individual layers).
This is the final image I ended up with, which I think i'm pretty happy with overall. As always, it has been resized to fit the page so the original is much higher quality and resolution.

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