Hey whats up?
I know exactly what you mean, I've been using Cool Edit for about 2 years now, and for a while this exact issue really bothered me.
Here's what you can do.
-On the MultiTrack View find which track you want to add the effect to.
-Now, right beside the level indicator there is a button called "Out 1"
-Click on that and that will take you to a screen that will allow you to create a bus.
-Click on "New Bus"
-Add the effect(s) you want and then hit "Properties"
-Mess around untill you have the settings the way that you want.
-Hit "Apply" then OK
Now you can listen to the entire track with the effect that you just created. You can also asign this bus to other tracks by hitting the "Out 1" button and selecting "Bus A".
If the effect is to harsh for your liking you can adjust the Wet/Dry settings by clicking on the "Bus" button at the top beside the "vol" and "EQ" buttons.
100% Wet means that the effect is at 100% IF the effect is too harsh try and bring down the wet abit or even jack up the dry abit.
Hope this helps, Cool Edit Pro is a great program, it doesnt get enough credit. Learn how to use it and you will love it.