You can't get the Premiere Pro project with all the reference links into After Effects. You have to render your Premiere project into AVI clip which you can import into AfterEffects for further processing. Never forget to limit your AVI clip-length(the one that you are going to export to AfterEffects) as small as possible. Lengthy clip will not give you a smooth preview unless you have a lot of RAM(above 1GB). Import only the minimum required length of clip which you want to process in AfterEffects.