That's how FCP works, and I found it very irritating at first, but I have 2 workarounds:
1: (this is a bit of a bodge) open a finder window looking at your renders folder in the background. When you render a section, you can grab the render file and drop it into a bin in FCP, then place it on a video track above the clips that it's a render of. That way you can build layers of effects shots without spending so much time waiting for renders, then when you're done take out the render layers and re-render it for real.
2:(this is much better) send your clips to Motion and do your effects there. Motion will do a lot more layers/effects in real time than FCP and the Motion project slots straight back into FCP.