You should definitely render “frame-by-frame to a file,” and I suggest that you use the MultiLayer OpenEXR format for all such intermediate-files. (Right up to “the final render,” which can be ordinary OpenEXR. All “distribution files” are produced from that “original.”)
Dust particles and so-forth should, indeed, be “added at the end” during the compositing process. Start with the pristine, and keep the pristine, before you (non-destructively) start to “dirty it up.”)
I suggest that you do color-grading … at least, many representative tests … while you are setting up each shot, especially the lighting. Color-grading wil change the overall color-profile of the frame by applying a digital filter to it. That filter will have the effect of compressing some of the color-bands (giving the effect of having expanded other bands). It will change the contrast, and how costumes and props are viewed. You need to be thoroughly familiar with how the final effect is going to turn out.
And, I think, this is another good argument for using compositing a lot. The color modification that needs to be applied to different things in the frame might well be slightly-different. Build “the ability to ‘tweak’ things” into your work flow.