We'll use the JC-40 as the Amp in this example.
Deciding how to setup your external effects with your amp is mostly a personal preference. The main decision is whether you want the DD-500's effects to influence the sound of your amp's preamp settings or not (in other words, run through the effects loop on the amp).
If you want the DD-500 to influence the sound on your amps' preamp sound, then you'd want to connect it to your JC-40 as follows:
FOR MONO: Connect A/Mono output of the DD-500 into the L/Mono front input of the JC-40
FOR STEREO: Connect A/Mono and B Outputs of the DD-500 into the L/Mono and R inputs of the JC-40.
Now you when you have the effects on you can change the parameters of the JC-40 and it will change the sound of the DD-500 effects
If you don't want the DD-500 effect pedal to influence the amps' preamp sound, connect as follows:
FOR MONO: Connect A/Mono output of the DD-500 into the L/Mono input of the Effects Loop Return on the JC-40
FOR STEREO: Connect A/Mono and B Outputs of the DD-500 into the L/Mono and R inputs of the Effects Loop Return on the JC-40
With this setup, the pedal will be after the preamp so regardless of changing the parameters on your preamp the DD-500 effect will be the same.
TIP: If you use the JC-40's onboard distortion (depending on how distorted) you will get a clearer, cleaner sound by connecting the DD-500 to the effects loop on the amp. Placing the delay pedal after the preamp (in the effects loop), the DD-500 delays the already-distorted signal, so your individual repeats of the delay effect are clear and they don’t interfere with your playing. If you connect the DD-500 into the front input (preamp), the sound will be affected by the compression and distortion that the preamp generates. This may result in a more “muddy” and indistinct sound, because the preamp compresses and distorts every delay tap while trying to compress and distort your original guitar signal as well.