first, as Koda says... there's no right answer.. there's no rules, so don't be afraid just to try stuff out.
as for your specific questions.. re: compression + saturation
compression isn't typically put on an aux send.. not that it's not ever.. but, the reason you'd use compression is to smooth out a signal, bring some peaks down... if you put that on an aux you'll re-introduce dry, loud peaks back into signal, thus defeating the purpose of compression.... but... then why do some high-end outboard analog compressors have wet/dry knobs? because there are no rules!
saturation: i often put this on an aux, depending on the effect, because maybe i want to lessen the effect a bit... but, almost every saturation plug i've seen has a wet/dry or amount control... so there's not really a reason to put it on the aux... especially because the better saturation plugs respond differently to different signals... sending a bunch of bussed signals into one saturation plug in will yield different results than sending each individual sound through individual saturation plugs.... which one is "better" is only your choice when mixing...