Absolutely. You should do this before any processing or editing.
I’ve posted a new plug-in effect here: High pass / low pass / band pass / band cut filter
This filter effect can automatically crossfade the effect in and out, thus avoiding clicks even if the selection does not start or end at zero crossing points. You will need to make the selection long enough to accommodate the crossfade at the start and end of the selection. A crossfade duration of 20 or 30 milliseconds will probably be about right, but please to experiment to see which works best for you.
This is a brand new plug-in, so any feedback about it would be much appreciated.