...set it up in series,that's about it...
That might be your problem right there. In series, you are dividing the voltage between three loads (in ohms). Lets pretend that each device (efx pedal) presents a 10K ohm load to the 9 volt supply, this would mean that each device is receiving only 3 volts. What you want to do is wire your daisy chain in parallel so that each device receives 9 volts.
As for voltage regulation, google LM317