Wow, I've been using (modestly...) Reaper for several years now, and had never come across this way of adding Fx to a track..! (The 'right click' is on the 'Track' 'recording armed' button, by the way, not the 'Transport' record button...) It just highlights the utility of reading the very extensive manual(s), maybe several times..! I've just tried it out, recording two tracks of my bass, the first with a Boogex amp preset, the second with an Ozone reverb preset. No apparent latency, though, on my i5 PC, or, at least, nothing that disturbed my playing to the metronome. Other Fx, or bunging in a whole lot more, could change that though, I suppose.
On the other hand, I'm not sure why one would want to 'bake in' Fx in this way. It's true that I'm rather a drummer; bass players may have different ways of doing stuff.
Still, it's an insight, and very useful to know. Thanks for the tip; another string to my bow when composing, so it's all good..!