The most important thing is that you want to avoid rendering wherever possible. Every time you render (say, your timeline out of Premiere) you add some loss of quality, and another huge file to manage/store.
The best option is to work with the original source footage. If you are using a movie called videoclip1.mov on your Premiere timeline and it needs an effect, you should pull videoclip1.mov into After Effects off of your hard drive and work with it directly. The only problem with this method is, if you trimmed it down or are only using a certain portion of it in Premiere, you will need to only focus on that portion of the clip in After Effects.
You can export your Premiere edit as an AAF as Graham mentioned, which is essentially a text file that tells After Effects how to recreate your Premiere edit.
The other option is to just look in your edit to see which part of that particular clip was used, and limit your effects work to that segment of the clip. Either way, it is vital that, once your effects work is done, you render out a movie that is the exact length of the source clip you are working with. If videoclip1.mov is 00:10:24:39 long, then the movie you render out of After Effects needs to be that long. The reason is that back in Premiere, you will have it replace videoclip1.mov with the effects footage you rendered from After Effects. If the two clips are not the same length, your edits to the clip will be off.
One final piece of advice. You may want to limit your color correction to the tools in Premiere. It would be quite a round-trip to color correct the source clips in AE, render them out (adding quality loss) and have to manage/store a second copy of ALL your source footage. Unless you are intending to use Color Finesse in AE, the only color correction tools you will ever need are in Premiere as well (Levels and Hue/saturation).