You only edit the shots/ takes you need in AE based on your rough cut with a bit of flesh/ handle, then integrate them in Premiere. Nobody processes entire movies in AE unless it is really necessary for very rare and specific resons.
As Mylenium said, you basically work on your effects shots the way effects shots have always been worked on. Since the days of Georges Méliès and other pioneers in the film industry, you edit the material you have to create your first cut or rough cut of your movie, then you decide what shots or sequences need effects, then you send those shots to the effects department for them to work on it. Only the tools have changed. What was originally a couple of rewinds, a viewer and a splicing block has become the NLE. Animators, matte painters, and special effects departments have been changed to compositing and motion graphics products like AE and Nuke. The workflow, has not changed. Beginners usually foul up the workflow and don't work as efficiently as they could, but an efficient production process is still the same. Script, plan, schedule, rehearse, block, shoot, rough cut, add special effects, refine the cut, do the final sound mix, do the final color grading, and render the movie.
For simple effects you can use dynamic link to simplify moving your effects work to AE and back to Premiere Pro, but I would recommend that any effects shot that requires more than a half hour to complete be rendered and the footage in AE be replaced with your render. Make sure you include enough handles on your effects shots so you can fine tune the editing for the final cut.
Many thanks for the clarification guys. Rick, the last sentence of your first paragraph is pure gold. I'll remember that forever.