For effects like overdrive, distortion, and compression, you would generally want to run directly into the amp input, not through the FX loop. Try this layout, and tweak from there:
Guitar --> Line 6 (Compressor --> Distortion/Overdrive) --> Amp
Also, if you want to add an effect like delay or chorus, those would generally go after the distortion/OD (and/or through FX loop, if you choose). Obviously, they're not hard and fast rules, but they should help clean up your sound a bit.