What's the best way to work on projects that require chroma key in After Effect.

The keyer in Premiere Pro, the Ultra Key is much less powerful than Keylight. I always recommend using Keylight over it if possible.

One solution to working with slowdowns after adding effects to layers in AE is to Pre-render.  The pre-render process involves creating a high quality (in this case it would be a ProRes4444 Quicktime) and replacing the layer with effects with your rendered file. The idea it that it is easier for AE to playback a rendered video file than having to build effects previews in RAM.

The automated command works like this:

Make your layer into a nested comp (precomp), open it and then choose Composition > Pre-render.

The program will add the open comp to the Render Queue.

I would change the Codec to ProRes 4444 and it shoudl be set to Render and Replace already.

Then make the file at it will replace the rendered comp where it is currently used. 

The weakness of this workflow it that it operates on the assumption that you are not going to need to edit the comp with the effects again.

Not really much you can do other than invest in better third-party keying plug-ins like Primatte. as you found out, it's the effect itself that causes the slowdowns, not some setting in AE and that can't be changed. It's one of those "use it or lose it" situations. At the very least you should try the keyer in Premiere. It doesn't have as many options, but usualyl does a good job on well-lit footage. Otherwise you realyl have to explore other commercial options and invest some money.

Mylenium