  Working with a gauge coupling field in a linear superfield, we construct
effective Lagrangians for N=1 super-Yang-Mills theory fully compatible with the
expected all-order behaviour or physical quantities. Using the one-loop
dependence on its ultraviolet cutoff and anomaly matching or cancellation of R
and dilatation anomalies, we obtain the Wilsonian effective Lagrangian. With
similar anomaly matching or cancellation methods, we derive the effective
action for gaugino condensates, as a function of the real coupling field. Both
effective actions lead to a derivation of the NSVZ beta function from algebraic
arguments only. The extension of results to N=2 theories or to matter systems
is briefly considered. The main tool for the discussion of anomalies is a
generic supercurrent structure with 16_B+16_F operators (the S multiplet),
which we derive using superspace identities and field equations for a fully
general gauge theory Lagrangian with the linear gauge coupling superfield, and
with various U(1)_R currents. As a byproduct, we show under which conditions
the S multiplet can be improved to contain the Callan-Coleman-Jackiw
energy-momentum tensor whose trace measures the breaking of scale invariance.
