So many ways to do this:
Nest the current sequence itself, drag it to the source monitor, drag the audio only into the sequence you originally nested from, add compression effect.
Output your audio only and make a new sequence from the new clip, add effect, bring this sequence into your original.
Set your compression effect on one clip. Save settings as a preset or just highlight and copy the effect in the effects panel. Select all the other clips and apply the same effect to all of them by dragging the preset on one of them or just hit ctrl v and paste the effect into all the highlighted clips.