What to do first: effects or montage?
Probably the best way would be to first edit your video completely in Premiere Pro and then use the dynamic-link feature. If you do it the other way round, you won't know exactly what footage will be used and on which clips to apply the effects. If you've already edited your clips and put them into a timeline you know how your final film will look and you're able to integrate the effects much better into your film.

For the dynamic-link workflow, create a new timeline in Premiere Pro and do all of your editing (what you called montaging).
After you've done with your final edit, you can bring the clips into After Effects to do the effects. Right-click on the clip you want to edit and select "replace with After Effects composition". Then this single clip will be automatically opened in After Effects and you can apply your effects. The clip in your Premiere timeline will be automatically replaced with the AE composition and you still are able to change your edit later and change stuff in your timeline. Then after you've done all the effects you need render the Premiere Pro timeline and you have your finished film.