Depending on what you mean by your "film effect," this entire thing should be built in Premiere. If therre are any effects or transitions that you cannot do in Premiere (you've described none that I see) then you take those elements to After Effects.
Most effects are available form within Premiere.
It's possible to build a "film effect" video clip in After Effects that is used as an overlay in Premiere, apply it to only the items you need affected. You don't need to apply the "film effect" to each individual item.
If you're animating your photograph position then I'd go for After Effects. If you're just creating a slide show with something like dissolve transitions then I'd do it in Premiere Pro or Final Cut.
The term "Film Effect" has no real meaning to me. It's just too general. Some film is contrasty, some grainy, some over exposed, some scratched. A little more concise description of what you mean by Film Effect would be helpful.
Thanks! The effects that I would be using would only be on half of the slides and they are from the third party pluggin Digieffects. Will that make a difference on making it in Premiere, or will I need to import into AE? Thanks again for the assistance!!!