It depends of what you wanna do in AFX, if is specific things in footage scenes, better to use the adobe bridge function (no need to export) you can add effects in AFX, and come back to premiere, and the footage itselfs updates... just render and you are ready to go!
If you want a general effect in all footage, just export as hi quality you can... um compressed is good, but i only use it if i need to work several times in same clip... depend in what codec you are using etc...
Best Regards,
Jorge De Silva