I'm over at mouser right now, looking at parts, one of the things it wants to know is volts. I see caps that are up to 400 volts. Does that mean that you can use it from 0 to 400 volts? Or are you supposed to find something that is much closer?
With these parts caps, resisters and diodes, is it OK to go OVER the volts but just not under?
If you are buying for a pedal and the pedal does not have a tube in it and it is powered by 9 VDC, then any voltage (literally) will do.
400V caps will be HUGE. Suggest getting the same value in 50V.
Yes to your question - a 400V cap can be used for 0V up to 400V. Or, strictly, the max voltage should be about 350V to give a safety margin. Over-voltaged caps either explode or just break.
Does that same apply to resisters and diodes as well?
Yes to diodes.
The simple answer for resistors is "no" but if you are intending to use resistor for very high voltages you need to use special ones. Not an issue for pedals though.