Mentioning special effects in your screenplay may seem counter-intuitive. Special effects are largely a decision made by the director and are not the kind of thing that is essentially put into the text. In most cases this would be over stepping the bounds of the screenwriter, who is intended to write the story that is then interpreted and executed by the director. Instead of indicating that there are special effects you usually should just tell the story as you see it, including events that would only be possible with the use of special effects. In this case you still may not want to include a marker indicating special effects.
While keeping this in mind, there are some times when it is necessary to indicate that special effects are going to be in place. This should be saved for times when it is impossible to communicate the story and tone effectively without the indication of special effects. In this case there is a specific format that is conventionally observed by screenwriters to indicate the special effects.