Compression
What you've said sounds about right, and seems to be the general concensus also, compress last.
Don't know whether you're aware of this also, but try to compress after everything you do to your sound (EQ,FX,Volume and filters, etc), even if it's just mild, you'll notice the difference.
Just helps to keep your sound on a level, as any changes you've made usually result in extra harmonics being created that weren't there b4 u compressed.
This can be done by either just re-setting the compressor's settings each time if you only have access to 1 compressor until you're happy with what you've got, or via resampling the already compressed sound, treating it to another effect (or whatever) and then apply more compression after.
Try multiband compression also, with the threshold set at different levels.
There's a few different techniques i've realised lately that you can use, all very similar in practice, it's just the end result that's the difference, i hate to use this phrase but, 'just experiment'.
A good way to do it is to just get any sound and try different methods, i wouldn't advise trying it on one of your current tunes to start with as it might take a while to get it quite right, and obviously re-sampling is destructive.
Oh yeah, don't try to use compression to hide a bad sound either, make sure you've EQ'd it the best you can before compressing.
Hope this helps
Rich.