There are 21 different Effects in Yume 2kki that Wormiko can collect (including the Instructions).
This page lists all of the different Effects in Yume Tsushin, along with their locations and instructions on how to get them. Clicking on the image for each Effect will take you to the article for the world they are located in.
Yume Tsushin has a unique menu system with the appearance of an old telephone's rotary dial. The effects are split into two rows which can be toggled by using left or right arrow keys. The instructions are an exception to this and they are available from the beginning.
Effects
Row 1
These effects are placed on the first row in the menu