distortion or gain effects usually are in the guitar-amp chain tapos delay and modulation effects are in the effects loop..
eto usually yung rule of the thumb... by the way, notice my use of the word "usually"...
PERO, siempre, nothing beats experimentation...kung sa ears mo mas maganda na nasa effects loop yung distortion mo, then go for it, walang pipigil sa yo kung yun ang gusto mo...