Quick question about best place to set the gain

On the interface, set it to never clip but as loud as possible beneath that.

You can normalize to different levels once in audacity.

Signal flow is normally shown flowing top to bottom, and the higher up the chain you can set gain properly, the better off all things below it will be.  
 
From my mindset - If you have gain too high, you will clip.  If you have gain too low, and have to raise it up later in the flow, you may add noise.  You are also summing, so you want to leave room for that, and pay attention when mixing so you don't creep on on unity too close. And, watch your input to output levels from plugins, so that they generally remain pretty neutral as your signal passes in and back out of them.
 
And, eat your vegetables, although I will skip Lima beans whenever possible. :)
 
Bob Bone