Correct, you do not (must not) press Record, otherwise the master file will be re-processed via the EQ & Compressor. If these are still on, you'll get another dose of effects added to the master file. Normalising operates in non real-time - you'll see a progress bar while it's working. When it's finished, the master file will be at the maximum possible level before clipping. If any part of the song had a peak which was near this maximum, you will not hear much increase. If the peak was already at the maximum, there will be no increase.... and if the peak was over the maximum for whatever reason, there will be a decrease in level. If you press Record after normalising, the additional effects may increase the level above this and you risk getting distortion.
If your song still sounds too quiet after normalising (i.e. the perceived loudness is too low for you), you need to go back a step and reduce your dynamic range (normalising does not affect the dynamic range). As mj said earlier, check out the sticky posts at the start of this forum for more info. re. levels and perceived loudness, and/or read some of the earlier posts in this thread re. compression etc.