After Effects is geared towards motion graphics design, and as such, is less convenient for game graphics design. Special effects like explosions and particle effects can be rendered out as alpha transparent png sequences, but unless you take very careful precautions in limiting the number of frames and you make sure to loop the effect seamlessly, it may wind up eating up resources for breakfast.
You are far better off doing special effects within the Construct environment. However, if you MUST use AFx, remember to:
1) limit the # of frames as much as you can;
2) keep the overall size of the effect small (a lot of effects can be scaled up without much of an effect on quality, and it animates quickly - so no-one will really notice);
3) if the effect must be active for a longer time in the game (such as a persistent "healing" effect), make sure to seamlessly repeat the effect with again as little frames as you can get away with;
4) export as an alpha transparent PNG sequence (RGBA 8bit per channel!).
Btw, here is a tutorial demonstrating how to animate a retro-style character in After Effects:
...but honestly, it seems rather contrived and an awkward tool for this type of work in my opinion.