What is the most efficient way to implement effects?
 
For example, I have 3 tracks with Trombones, French Horns & Trumpets.  On the send on each track I have a send going to a bus that contains an effects chain.  From the bus I then route the signal to the Master.
 
What should the Output on each track be set to?
 
Am I doing this right?

Outputs for each track should go either to an intermediate buss (Horns?) or direct to Master.
 
Intermediate busses should also have their output routed to Master.
 

Like Jonesey said, the best/most common workflow would be to have the horns output to a Horns Buss which then outputs to the Master.
I like my horns to sound like they were all recorded in the same place, so I would add the FX to the FX Bin in the Horns Buss.  This will treat them all equally in the FX (especially important for Reverb).
But it will also work by sending the 3 Audio tracks to an Aux that houses the FX and is also routed to the Horns Buss.

I cant say anything that's already said here by these guys.
I can offer a suggestion though, Create Bus groups for all your tracks (not just the horns).
This is a very common process.
Example: send all your Drum outputs to Drum bus / send all your guitars to Guitar bus, exc, exc.
This is a great organization tool, a great routing tool and also helps in the mixing stages when solo/mute is needed.