This question has a few different answers, and they depend on which type of plugin you are going to be using:
- Audiosuite(chapter 17 in the ref. guide)
The AudioSuite plug-ins can be used to process and modify an audio region or entire audio file. You would use this method if you know that you will keep the processing on the region or file and never change it.
- RTAS(chapter 27 in the ref. guide)
RTAS (real time audio suite) plugins are used when you want to effect the track in real time. This method is good if you wnat to “try out” several different settings, or even change the parameters of the effect while the session plays. They can be used on audio tracks, Auxiliary Inputs, and Master Faders.
VST (Virtual Studio Technology) plugins are the audio plugin standard created by Steinberg to allow any third party developers to create VST plug-ins for use within VST host applications. They cannot be used natively within Pro Tools, but with the help of a converter created by FXPansion, can be used just like and RTAS plugin (see item above) directly in Pro Tools.
- DX plugins
DX (Direct X) plugins are plugins developed for Windows Direct X technology. They cannot be used natively in Pro Tools, and there is no converter (like VST) that is available to convert them to a usable format. There are converters available to convert them to VST, and then you could use the FXPansion wrapper (see above) to convert them to RTAS format for use in Pro Tools, but personal experience with this process prompts me to recommend avoiding this.