Uncle Sam says ...
Using stomp boxes?

DO NOT use your effects as "mondo gain boosters" !!!
You can (and in all probability will) damage the input circuits in your amp.

"...uh, yeah, I run four distortion boxes and two compressors, man..."
All on '10', putting a signal into the amp input far beyond the level for which it was designed.

There should be only a small volume change between your straight and FX sounds.

This idea goes back to the days of tubes.
It DOES NOT work well with solid-state amps!

It was never very good for tubes, either - makes for a much shorter life span for the pre-amp tubes.   
Remember, the harder you drive them, the sooner they will need to be replaced!    Don't wait for a failure in your tubes. You know how hard you use 'em.   Keep them replaced regularly, to keep up your performance, and more importantly, to maximize the safety of your amp.

There's nothing wrong with having a number of stomp boxes for a variety of sounds.   Just make sure you set each of them for approximately "Unity Gain" (volume with the effect in and the effect out is roughly the same.)