Drop your sequence into another sequence so it behaves as a single clip, then add your effect to that. There's no measurable overhead from nesting a sequence.
Um... could you tell me exactly how to do that?
Thanks a lot for replying.
If you're using Premiere cs6 you can simply use a adjustment layer for doing this color correction task. Just take the adjustment layer and extend it on a video track over top of all your video clips and put your desired CC effect on the adjustment layer then you're ready to roll.
If you don't have Premiere Pro cs6 and you have cs4 cs5 or you have 5.5 then you can create a new sequence that matches your exact settings used in your original sequence, then take your original sequence and drag and drop it into your new sequence/timeline and then stick the color correction effect on your old sequence once it's inside the new sequence you just created.