How you plugiin an external effects pedal really depends on what effect is in the pedal,  There are lots of views on the web as to which order effects go in but as a rule of thumb

• Wahs, distortions, and overdrives go between the guitar and amp
• Reverbs and delays go after the amp (or in the Effects loop with a 'real' amp)
• EQs, compressors, modulations and filters can go either side depending on taste

For your overdrive pedal there are really two ways to hookup the cables.

The first is easiest ...

     Guitar ---> OD Pedal In -->  OD Pedal Out  -->  Pod Input

If you want to use one of the effects in the FX1 slot before the OD pedal then you need to use the FX Loop.  the hookup is

     Guitar -->  Pod Input --> Pod FX Send -->  OD Pedal In -->  OD Pedal Out --> Pod FX Return

I am not 100% where the wah goes in the effect chain on the HD400 but I think that this second hookup would put the Wah before the OD, which many people prefer.

In terms of setup for the second hookup

• Make sure the Loop switch is set to 'Stomp' (2.4 and 4.5)
• Use the L/Mono sockets for FX Send and Return (2.4)
• Within setup,
  • Set the FX Loop Routing to 'Pre' to put the overdrive before the amp model (4.6)
  • Leave the FX Send and Return Levels at 100% (4.6)
  • Leave the Mix set to 100% (4.6)

All numbers refer to the section of the Advanced Manual for the HD400 available from this site.

Use the FX Loop footswitch to turn the loop on.