9v Power for Digitial Circuit -- Parallel or Series Voltage Regulator Split
You are wasting quite a bit of power by using linear regulators to drop 9 V to 5 V and particularly to 3.3 V.  There is also no need to run the LED from 9 V.  There is no such thing as a "9 V LED".  There are some packaged devices that contain a LED and resistor so that the whole thing is intended to run from some particular volage, like 9 V, 12 V, 24 V, or whatever, but then you don't have just a LED anymore.

It would be useful to know the current requirements of the 5 V circuitry, the 3.3 V circuitry, and the LED.  I'm guessing that the sensor probably doesn't take much current.  In that case, I'd probably use a linear regulator to make 5 V as you suggest, but a switcher to make the 3.3 V from the 9 V.  The sensor runs from 5 V and everything else, including the LED, runs from 3.3 V.  That will be a lot more efficient.  Assuming this is a normal red, yellow, or green LED, it can be run from 3.3 V easily with the right resistor in series.