There’s two school of thoughts when it comes to recording effects. One says record the signal dry, and add effects during mixdown. That way, you can tailor the tone and level of your effects to the final mix. If you record with delay, for example, the repeats may end up not being loud enough once the mix is completed and get lost in the full mix. The other school of thought is that the more “live” your tracks sound — with the effects “baked” right into the tracks — the more complete your song is in the tracking stage, the easier it will be to mix.
As a general rule, any effects that are an integral part of the tone itself should be recorded. In other words, do you use overdrive pedals to get your sound? Is a particular track dependent on a Univibe-style effect, or an Octavia-style octave fuzz? Even if your tone uses a very short slapback delay, those types of effects make sense to record.
Effects that are less about creating the basic tone and more about creating a sonic effect or mood or ambiance, however, might be best to add during the mix. For example, if you are using lots of echo or reverb to create a particular sense of space, you want to add that once the mix is mostly complete so that you can get the level of the effect set correctly.
In the final analysis, there are no rules, and if you’re not sure, you can always record multiple tracks, some with effects and some without, and see which works better for your song. Don’t be afraid to experiment!