if you go file>import>import premiere project, or if you copy a sequence and paste it into an ae comp, you should keep your edits. however i never found this to be frame accurate, and it's a pain in the ass to trim everything back down.
also, any motion, fx or transitions you applied in premiere will probably be lost.
cs4 dynamic link is where it's at, but you only get it in the production premium and master collection bundles. bridge is for managing your project files, it doesn't link between ae and ppro.
another option is to export an edl (edit decision list) from premiere, and import that into ae.
best way is to work scene by scene though - render out or copy/paste the clips you need from ppro into an ae comp, do the work over there, then render out with project link enabled. bring the rendered output into your premiere timeline to replace the original clips.