I generally prefer to patch effects directly, rather than going into the interface, over Firewire, through the DAW routing, back over Firewire, out of the interface, through a pedal, back into the interface, etc. with the extra latency and conversion that adds.
(In fact, sometimes I will patch oscillator -> pedal -> VCA, so it’s not even end-of-chain. Particularly with Geiger Counter, which makes a nice waveshaper.)
But my process might be different from yours. Rather than multitracking or recording dry channels, I set up everything and do a “live recording” to a stereo file only.