The compressor should go after all the of the effects that are gained based (i.e., envelope filters, unless you want to compress the output of the filter, which I've done a bunch).
As far as which compressor to get, well, that's a huge question. Different compressors sound very different. If you want something fairly invisible, for basic dynamics control, and inexpensive, the RNC is very nice. For a colored sound, and at a higher price, the sky is the limit.
If it were me, I'd probably check out some of the stomp box options. They can sound very good. If you are planning to run a separate effects chain for each pickup, you can then pick a compressor appropriate for each (maybe transparent for one and colored for the other).
I'd suggest you go to a music store and check out a whole bunch of them. What works for one person might sound terrible for someone else.