It depends on your workflow and the kind of music you are making. If you're recording audio parts and you pretty much have the arrangement down before you start recording, then by all means work on getting everything recorded as well as possible before you start inserting effects. But if you mainly work with synths and MIDI, the arrangement process is likely to be a little more organic, ie it comes about through a lot of experimentation and fiddling and synth sound shaping and moving parts around. In this case, the way the arrangement goes is very much inspired by the sound you're creating, and you might very well start playing with effects from an early stage in order to get a rough "sound" that's going to move the track in a certain direction.
You might, for instance, use effects to see if two particular synth parts are going to work together. I recently had a couple of sounds that were clashing because they were in the same pitch range, but adding a little chorus to one of them created separation and gave them their own space so that they didn't clash. I was then inspired to keep the sounds rather than write them off as incompatible, which I would have done had I followed a "no effects till mixdown" philosophy.
Similarly, if you're making a thumping dance track, having the kick drive some gentle master bus compression creates a little inspirational "bounce" to the rhythm which makes you feel totally different about the tune and influences your subsequent sound shaping/arrangement decisions.
However it works both ways - if two synth sounds are clashing, it's often better to tweak them at the source, ie the synths themselves. You might change the filter settings or the attack and decay times to make them sit better in the track. Once you've done your best at the synth end, then you can make them even more compatible with each other with EQ etc.
Overall I would say just go with whatever works best for your workflow, but don't get too obsessed with tweaking effects in the arrangement stages. You might end up getting obsessed and chasing your tail for weeks getting nowhere. And after all, when the arrangement is finished and it's time for mixdown, you may find yourself totally rethinking your effects chains.