Color Correction is one of the last things you do in an edit.
I generally do CC last, but others may have an opposite view. Since you have Prospect HD, the answer is a little different. PHD comes with the companion program First Light which does non-destructive color correction via altering metadata within the Cineform MOV or AVI file. What that means is that you convert the clip to CFHD, then use FL to color correct each clip. This will automatically synchronize with either your NLE or After Effects, as all the CC is done by the Cineform decoder. There is no re-rendering required and the video track in each CFHD is unaltered. Once you are satisfied with the final CC, then you can render to your delivery format.
Prospect HD version 5 (which is being released when CS5 hits the streets) supposedly extends the CC by keyframing, so the CC can be changed within a clip. First Light is incredible and you can read more about it on the Cineform website or at their message board at: