That's right. If possible, render/export your Resolve file as AVI, then before continue to editing in After Effects, transcode that AVI to DNxHD. This is an intermediate codec, so no noticeable quality loss, smaller file size, and easier to edit with.
MPEG Streamclip: http
Now. I don't know what the format you're working with is. But, look at this first:
The reason for that, is because you need a bitrate that suits you. If you have lots of moving objects, then a higher bitrate may be something that you want. The bitrate is in megabit, and follows the DNxHD in each one, so DNxHD 36 = 36 megabit. Bitrates can't be compared when different codecs/specs are involved, so it's a process you have to experiment with.
If I was unclear, feel free to ask!