For each pad, when you click on "show drum and fx" to access the drum module, you'll see "drum output" there on the bottom. This will set the output for each individual pad, corresponding with the output channels on the back, which you can then route to individual mixer channels. Then you can put separate insert effects on each drum to your heart's desire. If you don't specify the drum output, they all run out of the master fx by default, that's why simply patching them into mixer channels doesn't work. Hope this helps.
By the way, if you're doing it this way, do yourself a favor and create separate note lanes for each drum sound in the sequencer. More control.