Hi,
They are the translations of "corregir" of Spanish. The difference in my opinion is that 添削する and 訂正する are a bit more formal and 直す is used the most. You can use 直す and 正す for other cases not only "to correct what you write/say", for example, 服装を直す/正す、悪いくせを直す/正す.
I would translate "please correct my English" 私の英語を直してください though you can use all of four words in this case.
I hope this was helpful.