Connect power to your stomp box, by loading a battery or connecting a compatible power supply. Many purists prefer batteries for low-noise performance, but tone may change over battery life or between individual batteries. Power supplies provide consistent power, but may contain sources of electromagnetic interference. Use a supply with the proper specifications for your device. There is no standard for voltage or amperage, and using the wrong supply can damage your stomp box.
Use shielded patch cords of good quality to make all connections. Signals from both your guitar and stomp boxes are relatively weak and susceptible to induced hum from EM interference. Shielded construction protects the signal from such interference. Use the shortest cable lengths that are practical for best performance.
Sequence your stomp box units, if you are using more than one. While there are no unbreakable rules regarding stomp box order, there is a general starting point to daisy-chain stomp boxes together. Plug your guitar into filters first. Wah pedals and envelope followers interact with your guitar. Compressors are next, then distortion or overdrive units. Modulation effects like phase shifters and choruses come after distortion pedals, followed by time effects like reverb or delay. Run a patch cord from the last stomp box to your amp and your circuit is complete.