What should I do to a dry sound effect to make it sound natural? Is convolution enough?

indoors, probably some room tone and verb/convolution....outdoors...some outdoor ambience sound.

What about with ADR? Is that any different? You don't want it to make it sound like it was recorded separately.

The thing with ADR is room tone and verb in indoors and ambience in outdoors. Always record room tone even if your location audio is good. U never know when u'll need it.
Other than that, u might want to use some roll off of low and high frecuencies. Also, very very important, always try to use the same mic that u used on location for ADR. If your mixing ADR with location sound, this will certainly help you avoid using EQ to make em sound the same. If the room for ADR is not good (acoustics) you can get by with a small diaphragm cardiord or hyper cardiod mic. I've used oktava 012 with very good results for ADR and Foley when I don't have access to the same mic used on location. Try to use a relatively death room (controlled reverb).
The distance factor will due with EQ'in the highs and lows a bit. If indoors, use reverb. if the dialog takes place in a small room, mimic that with the reverb by using a short tail. If its a bathroom, a section sum of very short delays can pull of the trick with a little verb. Kind like creating a comb filter.