#1
I'm wondering which of these is best. I like shredding style but for now only have an MG15DFX (I don't know what tube amp to buy: I've only got around 500€ and live in Majorca-

Which is a nicer, cleaner sound:
+OD-3
+SD-1

I like shredding (Malmsteen-Satch), but also blues, Bowie, Zappa, Van Halen, classical music, BBKing, the Jam, the Who...
#2
totally depends on the amp being used. i personally prefer the Digitech Hardwire Tube Overdrive but that is what works for me with my current amp (Peavey Valveking). start with your amps natural distortion and go from there. i don't use the overdrive when jamming to yngwie at all as it really isn't needed. keep in mind that yngwie uses very loud but fairly clean non master volume plexi's and adds in a DOD overdrive for more gain. his sound is actually fairly clean and doesn't rely on tons of distortion.
#3
People will tell you there's no point in buying a distortion pedal hoping that it will do much for the tone you get of the MG.

That's true too. I would rather look for a new (preferably tube) amp. If you can't play loud, look for something like a Line 6 Pod + headphones

Sticking a dist in front of a MG will usually just sound like a can of bees.