Mirosol posted a great
test box that I have been using for quite awhile now. It lets you just plug in a new circuit to four terminals - +9, grd, in and out; plus you plug in a guitar (it has the jack) and a jack for the amp. One great advantage is that it lets you try circuits with other pedals, just like it was already boxed up.
I am seeing some newbies here (which is great) but like many of them, they don;t realize you don;t have to build the full circuit to get to the testing phase. You should look into the test box. (Bread boards also work)
If anyone else has built this it is great but you should know one thing. Mine blows out power inverters. I can take a pedal with built-in power inverter and connect it to another pedal - all connected to the same DC power supply. And that is fine.
But if I have a circuit with a power inverter and plug it into the test box, and then try to add another pedal before or after it (connected to the same power supply) - it will blow out the power inverter chip.
Just a warning in case anyone else is using this box. It is a great box, though and mine is still working like the first day.