I'm sure Rick will chime in, but the AFNI point of view is that
all the regression and filtering should be done in one step, not in two steps. That is what the 3dTproject program is for -- it will "project out" (the mathematical lingo) the nuisance regressor,
including the cosines and sines for the frequencies being rejected.
Rick's super-script, afni_proc.py, can do all of the above processing, including the steps that you mention in your (parenthetical remark).