Barry, most amplifiers are designed to provide clean amplification; the output signal is a replica of the input signal, just bigger. That's what everyone except guitarists expect. Guitarists (including me) constantly modify their tone. That's why there are so many effects pedals out there. Some guitar amps are designed so they won't distort or distort only slightly - old Fender tube amps weren't designed to distort. They distorted as a result of the technology of the 1950's. Tube amps from Fender add a little distortion while Marshall add a lot of distortion. Some channel-switching amps are designed so than you can go from clean to slight overdrive to heavy distortion without pedals.
All amplifiers will react differently to your setup. Start by setting the amp volume to the loudness you want. Set your distortion channel gain way up. Then play with the guitar volume at different settings. When the guitar volume is maxed, you should start to hear the amp distort. As you reduce the guitar volume, the sound should clean up. Strats use single coil pickups that have less output than humbuckers, so it is harder to overdrive the amp.
Hendrix used his Strat with an Arbiter Fuzz Face and Vox Wah running through multiple Marshall stacks to get his sound. I don't know what Jimmy Page's signal chain was, but I believe that he switched from using DanElectros and Telecasters to a Les Paul with Led Zep. On their first US tour - Page was using a Les Paul with a smaller combo amp. After the release (and success) of Led Zeppelin II, he switched to Marshall stacks while on the same tour.
When you're looking at pedals, overdrive pedals are usually trying to imitate the sound of an overdriven tube amp. Distortion pedals add more distortion and Fuzz pedals add the most distortion. I'd recommend that you take your guitar and amp with you when buying a pedal (but not to the store where the guy told you that you couldn't use pedals with the Peavey). You might want to look at some of the Boss pedals - they have a lot of different models that range from overdriver to full fuzz. Boss publishes the "Guitar Effects Guide Book" that gives a lot of information about different types of pedals. This is a free booklet and should be at your Boss dealer.
The combination of an overdrive or distortion pedal with your amp distortion should provide much more distortion and sustain.
