[Daniel Kim] “Or do you guys get clips of the footages you shot into AE and add the necessary special effects and bring the final clips into your NLE and edit your footages, then? “
This is the more common workflow for VFX shots when using NLE software. There’s a different workflow on high end finishing systems like Smoke, but in Vegas, FCP, Premiere or Avid the VFX shots are usually completed outside the editing app and brought back into the timeline for finishing.
There can be some “gotchas” to this method, most notably anticipating/dealing with gamma shits when exporting/importing footage, but that’s outside the scope of this discussion. The typical workflow is that VFX (anything beyond the capabilities of the editing app) are handled on a per-shot basis in a dedicated compositing or VFX app, then brought back into the NLE and edited into the project.
Just a quick note: get in the habit of using the term “visual effects” or VFX for short. The term “special effects” refers specifically to practical real-world physical production effects like pyrotechnics, fog, etc.