Multiple amps

Well if you only want the OD to go to the Marshall then you would put your guitar straight into an A/B box (signal splitter) and since the Vox you have is a modeling amp with built in effects, one output straight to the ''input'' of the Vox.  You will then set your desired reverb and whatever else on that amp itself.

Second output from the A/B would go into an OD and or Fuzz pedal and into the INPUT of the Marshall.  The Marshall will be your "dry" amp as it won't have any effects. (OD doesn't count)  Since it has an effects loop you can run a delay pedal into it's loop and switch it on when you want to.  Set it's delay repeats long and drawn out..  Using a normal 1/4" guitar cable, go from the "SEND" jack on Marshall's effects loop to the "IN" of delay pedal.  Then, delay pedals "OUT" to the RETURN jack of the effects loop.

You can then EQ each amp separately for your desired tone.  The VOX would probably be more clean (mild Overdrive) sounding and the Marshall dirty.  Play them together and you have both mids on one amp and distortion on the other.  Even if the VOX is set dead clean with some reverb, and the Marshall is distorted and heavy, the combined sound is thick and full.  Very big.. Mainly because of the clean undertone from the VOX.  Experiment and see what you like best.  -S

Typically OD pedals don't sound good into a solid state amp.  It might, but I've found it to sometimes work and sometimes sound like crap.

DO it: Guitar> Wah> A/B Box
A/B Output 1> input on Marshall.  Put Delay pedal (set Longer repeats) in loop of Marshall, not in front.  Unless you want it in front...
A/B Output 2> input on Vox.  Use onboard effects already on Vox.  If the Vox had an effects loop, you'd go Chorus/Short Delay/Reverb

I'd try setting the Vox with some crunch, then with a small amount of distortion and then try it clean.  Keep the Marshall distorted.  If you're using an OD into the Marshall, you can have the amp already distorting and kick on the OD for leads.  Or, you can keep the amp a bit mild and always keep the OD on to boost it into more distortion.  I find you get a much nicer, smoother distortion tone when the amp is breaking up but not full out distortion and you put a Tube Screamer in front of it to add more gain.