I haven't done it live, but I have in studio. I've used a Boss VF-1, which is a half-rack space unit. It is, however, based on a lot of the Boss multi-fx floor units so I suppose it'd work relatively similar. For live I usually just use the onboard effects, but if I needed to do a lot of organ or wurlis and other e-pianos I'd probably bring it along for some distortions and rotaries.
The only external unit I've ever used on my XP live is a Digitech talker, similar to a vocoder.