You can have your mouse copy and get you out of copy mode like this:

  # native mode, if your terminal supports it
  bind-key -T copy-mode-vi MouseDragEnd1Pane send -X copy-selection-and-cancel

  # or if you're using X, and want it to work like any other program
  bind-key -T copy-mode-vi MouseDragEnd1Pane send -X copy-pipe-and-cancel 'xclip -i -selection primary'

The scroll thing is a little hairier looking:

  bind -n WheelUpPane if -Ft= "#{mouse_any_flag}" { send -M } { if -Ft= "#{pane_in_mode}" { send -M } { copy-mode -t= }

That's just the default binding for WheelUpPane, except using bare copy-mode instead of copy-mode -e (-e is auto-exit when you scroll to the bottom).