This may be a stupid question, but its a question nonetheless
 

I have a 40 minute project finished. Now I am going to go back and start to color correct and add some filters such as smoothcam and magic bullet looks.

Is it better to do every step at once (add smoothcam, color correct, use magic bullet)?

or

Is it better to do each at once, render and then do the next?

The real issue here with me is, I dont know if I add an effect to a clip with smoothcam or some of other filter, will it have to all be re-rendered if I add another filter.

yes, if you render a clip and add another filter, it will need to be rendered again.

As for workflow, I find concentrating on one effect at a time the best method to maintain consistency. rendering the whole thing really isn't necessary between "passes" but if you have the time and hard drive space, go for it.

With using smoothcam on a clip make sure you render out a new quicktime of the clip using in and out points, save this clip and then bring back into FCP and replace the original clip then add smoothcam and let this render out. If you don't do this, the original clip you want to add smoothcam to may be from a long clip and smoothcam will render the whole clip out even though you have only a small portion in the time line.

Hope this makes sense.

Cheers

Adding to what simon said, often you can work around this by creating an new (shorter) master clip from the clip you want, then adding smoothcam to the new master clip only, or better still, learn to use the analyse/stabilize in motion (use 'Send To Motion' from the timeline in FCP), I've found it to be better AND faster at doing the same thing AND you have a little more control over how it stabilizes things.