There are other options besides going through additional conversions. Most outboard effects units are digital, and will add another set of conversions to the ones mentioned above. So a track will have gone through the original A/D, then a D/A to get out, an A/D in the effects processor, a D/A coming back out of the processor, and an A/D to get back in the computer. ECK!!
The better approach is to keep everything in the digital domain. Most effects processors have some digital I/O, usually S/PDIF, sometimes AES/EBU, and now there's units with USB interfaces that emulate being a VST plugin. I use S/PDIF interfaces for outboard, but haven't tried the newer USB/VST approach. It's a great idea, one that should integrate nicely into the DAW environment.