The placement of a compressor in your signal chain ultimately depends on the kind of sound you are hoping to achieve when you engage the pedal. However, most people tend to place their compression pedals early in the chain, before any overdrive or distortion. This compresses your clean signal instead of doing the same to a distorted sound which has lots of added harmonics and noise that you might not want to compress. As always, you should experiment as much as you can. Maybe you will unexpectedly stumble upon a guitar tone that you wouldn't have if you just connected your pedals the way that people say you should.