Personally I do not use a compressor or limiter while tracking unless
the singer has really uncontrolled dynamics. They don't actually increase
the dynamic range, they control it, which is why many people use them.
Equalization is also something I avoid, except I will use the mic or
preamps low-cut feature to remove floor rumble or room noise.
A pop filter will help remove the hard "P" and hot "S" if there is a
problem, but some can actually mask the vocal slightly.
As a rule of thumb you want to record as direct a signal as you can,
and only print effects if you are absolutely sure you want the processed
sound. If you are using a compressor in the vocal chain you don't want
to go much past a 2:1 ratio or a limiter, I'd go for at most -4db of gain
reduction. Essentially if you can hear the effect it's too much.
So I'd keep doing what you are doing. Most of the time you only
process as recording as a precaution. Sorry if my two cents was
not desired.

^^Very well put.

I will occasionally run my Compressor/gate on vocals or on a shaker or tambourine while recording. Its not my favorite technique, I perfer to get the "best" possible sound into the computer first, and THEN add what I need to.
Remember, once you've "printed" direct into the computer, you wont be able to remove it.

This is all to taste though.

Their have been times, however, where Ive recorded Vocals for someone, and found that running their signal through my compressor has worked allot of magic.
Also, I find that Outboard gear, rack effects and such, seem to be a little bit better quality than allot of plug-ins.
Ive bought some plug-ins before, that all they'll do to a track is create fuzz and noise(and who wants that!)!

Experiment! See what you like!
As Alan said on the DVD however, maybe the money is better spent on an equally as affordable Microphone!