I do mods...
The 32x, Genesis, CD combo is what I'm going to point out.
The graphics run through both systems and a good way to point this out is dont connect the short cord from the sega to the 32x and see what happens. most games you loose sprites but have everything else.
beings thats said, you would need to mod the sega and 32x for video.
for the Sega CD I'm not to sure on that, I havn't dug to far into it but I beleive you would only need to mod the CD system.
I have the over under model 1 sega cd and had to do a fuse mod on it, and not only does it look sweet (and like it was supposed to look like it was on there new.) it makes it easy for if the fuse ever blows again to just pop in a new one.