the best way to get footage back into premiere is to have it replace the original footage in the sequence timeline. this is normally done with "make offline" and "relink". doing this transfers any effects and transitions to the new clips. the breakdown in this workflow is the relink in premiere. even with the update to the relink options adding the ignore file extension option, when i use cinemadng's in premiere it uses the image sequence as part of the file name. this breaks any chance of an automatic relink.
the only easy option i know to get this relink to work is to use proxy files generated in resolve for the edit. then after color grading render out individual clips again, just like when making the proxies. the difference is instead of using dpx, this requires using a format such as the quicktime uncompressed, cineform, or dnxhr that will be a single file. then premiere will be able to relink to these color graded clips, and will keep all your effects in place. you can even swap out proxies for the color graded by renaming the folders they are in, instead of the relink option in premiere. if you aren't satisfied with one of those codecs vs dpx, this wont be a solution. since its being rendered after the color grading, the quicktime uncompressed 10-bit might be good enough for you? you can still render separately the AE clips in dpx or tiff if desired... to use cineform in resolve i believe you have to purchase it, and adobe doesn't yet support dnxhr so thats not an option at this time.
another option, if you use the majority of you footage is to do primary correction in resolve first and export to dpx. then use the dpx to edit in premiere, do your AE comps, and speedgrade to polish off corrections and apply a grade. never to return to resolve... this will keep you from fighting premiere's relink with the resolve roundtrip. as neil points out, speedgrade with dynamic link saves much of the headaches. for the best performance, don't apply any effects until after done with speedgrade. speedgrade is a decent program, but if you are use to resolve you may find it lacking.