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Maybe, Maybe Not
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.
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FX + SFX
When you are writing something that would require a special effect and want to indicate that it is a special effect you simply do that with a special code. For regular special effects you mark it with FX, and for sound effects you do this with SFX. This can be done in parenthesis, as its own sentence, or some other type of attachment. This is not as specific, though you should not indicate what type of technical special effect should be used here.
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Avoidance and Use
This should be used in case people are unable to recognize that a certain situation requires special effects. It is obvious when an explosion occurs or an alien appears at a doorway that a special effect is needed, but there are times when it may be unclear what your intention is with a specific event. This may be even more common with a sound effect, and is a complicated issue.
Keep this limited. Still diagram the special effects that happen in your story without always indicating. Even when you are not indicating it is important to limit your detailed description of action situations that will require special effects.