Using an HPF with an octave pedal

It would really depend on what kinds of effects you have I would think. If by "artifacts" you mean things like string thumps and whatnot, putting the HPF first in the chain should still get rid of that. Filter and synth pedals could still generate some low frequencies, but depending on your setup you may want to keep those in.

And for instance if you put your compressor before the HPF, you are wasting compression on something you're taking out anyway, right? Makes more sense to take it out further upstream, and then you can really dial in the compressor to act how you want it to.
 
It would really depend on what kinds of effects you have I would think. If by "artifacts" you mean things like string thumps and whatnot, putting the HPF first in the chain should still get rid of that. Filter and synth pedals could still generate some low frequencies, but depending on your setup you may want to keep those in.

And for instance if you put your compressor before the HPF, you are wasting compression on something you're taking out anyway, right? Makes more sense to take it out further upstream, and then you can really dial in the compressor to act how you want it to.

Really depends on the compressor and how one is applying it, I think. I use the HPF after everything, including a comp with settings some would consider fairly squished. For my needs it's basically a stopgap for the speakers, but coincidentally serves to tighten everything up by reigning in what the comp doesn't. A quality comp isn't going to quash the lows or sub lows enough to where the HPF still isn't going to be useful further down the line (depending on settings), especially if one is using OD/Distortion after comp, in addition to the octave between everything.

My chain goes: Comp>Oct>OD>HPF

I don't want to rob the signal beyond what peaks the comp is shaving off before it gets a chance to trigger the octave adequately (again, this is where a good comp and how it's setup comes in). By placing the HPF last I can decide how much sub low my signal is putting out without starving it at the beginning and risking not having adequate input for the following pedals. I can see using a HPF sans comp before the octave, but I still don't think it's going to level the signal enough for the octave the way a comp will. It might actually be more prone to warble because of the harmonic overtones coming through. All IMO, IME, etc...there are no rules. Try it and see what works for you!