You can try doing it that way. Although I usually find that if you play totally clean and apply effects later, it affects the way you play something.
Sometimes I'm forced to do it cause I can't get the right sound on my pedals, so I'll practice it a whole bunch of times with the pedals first so I get an idea how I would really play it.
Then I'll record it straight line in using the knowledge from the practice.
Then add effects later. You get the best sound this way but it's hard to get a feel for what you're playing cause you don't know what it sounds like till you're finished.

Sorry, don't have a clue about Cool Edit. Only thing I ever use is Cubase.
If you want some tips on VST plug-ins though, I got a ton of em.

Don't know if you've had a look yet also, but my page has a ton of recording tutorials. Some are more detailed than others, but I basically go through the whole process of multitracking recording to the mixdown and mastering.