Possible headers to connect to the breadboard include DigiKey A34977-40-ND cut to length, or 609-5136-ND pre-cut.
You can also install female sockets instead of male headers, to provide power to a single CEfx module without using a breadboard. An ED90262-ND cut to length would do the trick.
You are allowed to install headers on either side of the board, if that makes the mechanical fit work out better.
Diodes D1, D2, and D3 are power zeners designed to protect against reversed power supply connections as well as overvoltages. We use 5V TVS diodes (SA5.0ALFCT-ND or equiv) for D1 and 15V TVS diodes (SA15ALFCT-ND) for D2 and D3. Regular 1N400x rectifiers or power Schottky diodes will also provide protection against reversed voltages.
Although voltage regulator U4 is rated for 1.5A, it is not mounted to a heat sink, and so will get hot if it supplies more than about 100mA. If you need more current, consider adding a heat sink, or using a switcher, like the pin-compatible V7805-500 (DigiKey 102-1709-ND). You would need to increase the values of the input and output capacitors. Consult the V7805 datasheet for details.