What model of Behringer USB interface do you have? If it sounds fine with the guitar plugged right into it, then you are probably fine without a preamp. As for the effects, both methods that you describe are possible. Some folks like to add effects after recording a dry signal, as it gives a lot of flexibility for changing the effects. Others like to record the effects along with the guitar, especially if you've got a sound that you like and are not sure that you will be able to reproduce it after the fact. A third option, if you can set it up, is to do both at once - put the dry signal on one track, the signal with effects on another. That way you can capture your performance with effects, yet still have the flexibility of going back to the dry signal in case you want to experiment.