I don't record anything with effects in any way. It certainly is not a good idea to print effects as you record (recording a reverb along with your voice, for example). But some people like to hear reverb with their voice as they record, but just not have the reverb itself be recorded, if that makes sense. Well this is not that easy when recording with a computer because of a thing called latency - the delay between what you do and when the computer records it.
Here is an article that shows you how you can hear that great reverb on your voice as you record (but not printing the effect):