if you wanna compress the dynamic range of your signal which is the case in 99% of all masters, cause you can make the whole thing louder with it, you can either compress it, or clip it (saturation) which sounds rahter different, if you don't notice the difference, you probably haven't reached the threshold and its not affecting the signal
i recommend search for the "getting your loudness" thread everythings in there, and if you don't know how compression works google that first