I need to make a board with 9v (for Arduino), 6v (for servos) and 3.3v (for wireless and laser diod) voltage regulators. I notice that there are usually a capacitor between the input voltage and ground on all on voltage regulators, If I have all 3 regulator taking power from the same line, should I be using 3 different capacitor or just use one with bigger capacitance? The voltage regulator I am using are, 7809, 7806, LD1117V33.
If the regulators are all close together, and have some good common ground like a pc board, your approach is OK.
You should probably add a .1uf capacitor also; it is better for high frequencies. If the regulators are not close together or are breadboarded, add a .1uf from input to regulator - ground right at the regulator.