There is no one single way that all guitarists need to follow when running effects through an amp. If there was a rule, most guitarists would probably just break it anyway. Ultimately, wiring your effects pedals comes down to what sounds the best to you. Nevertheless, there are some guidelines that will help you on your way.
First, most amps have an effects loop input as well as a main input. The main input is where you plug in your guitar. The effects loop in your amp is another place to route the signal, however. It offers another way of adding external guitar effects pedals into the signal trail.
Before choosing your setup, you should know that putting effects onto the effects loop sounds quite different than plugging them into the amp input. Plugging an effect pedal into your amp input tends to mask or color the sound because the input allows the signal to be processed by the gain and equalizer. This can be desirable because the effect passes through the EQ and gain circuits.
The effects loop on your amp eliminates the effects gear from Gain or EQ influence. A better statement might be that the sound is pure and untainted when it goes through the effects loop. That can also be a desirable quality for certain types of effects. For example, most people run effects such as their delay or chorus pedal through the effects loop rather than the amp input.
Effects pedals such a wah, compressor, overdrive, or sustainer are commonly run through the amp’s input. There is no prescribed formula for what order you should connect your effects in. Have some fun and experiment to see what sounds you can get by changing the order of your effects pedals. Eventually you will begin building your own unique sound and people will wonder how you did it.
One last piece of advice is that you should always use a good quality cable to connect any effects you choose for your system. The smallest flaws in your setup can make a huge difference. A good habit is to make sure you always read reviews of the components you are interested in adding to your setup before you purchase them, and make sure you only buy from well known manufacturers.