I agree with OldAirmail.
REX and FSWC will modify/replace some textures or shaders, but when it's done, it's done, and you don't need to keep the programs active to see the changes.
I mean, once you made your choices in REX and FSWC, and you have applied/saved these changes, then you can close these programs (REX and FSWC). FSX will use the modified files on the next startup.
However, the files/textures/shaders we are talking about are part of the sim, they are not replicated in your saved flight. Your saved flight is just a situation, saying that you were there, at that time, in that plane, in these conditions.
To make it clear: let's say your FSX has only default textures inside, default water effect etc... and you save a flight.
Then, later on, you trigger REX and FSWC and you choose some different skies, clouds, and water, and then you "apply" the changes, then you close everthing.
And finally, you launch FSX, and you load your saved flight.
-> you will reach the cockpit in your saved situation, but you will see the new clouds, sky and water textures... because they replaced the default ones and the sim has to use them no matter what.
The only thing that will be saved in your flight, regarding the environment, will be the weather. The amount and position of the clouds, the temperatures, the rain etc... all of this is precisely saved. So if you saved your flight with a very nice set of cumulus next to your base, you will see that set again when you load your flight... however, that big bunch of cumulus will now use the new textures installed by REX, so they will hopefully look better than before
