You have two choices, when you do “Send To After Effects” in Premiere (PPro) it sends what ever you selected and then you can work with it in AE. When you go back to PPro you will notice that you now have an AE file acting as a clip. So any changes you make in AE will then update in Premiere. The other option is to do what you said, which is to export out the clip from AE and import the movie clip into PPro. The advantage to that is big bulky AE files don’t play well in PPro. Or if you revisit the project in the future you will have to relink every thing in AE in order to just watch it in PPro which trust me is a major pain in the ….