Use rename , a small script that comes with perl:
rename 's/(\d{3})/0$1/g' myfile_*
If you pass the -n option to it before the expression, it will only print what it renamed, no action was taken. This way you can verify that it is working fine before renaming your files:
rename -n 's/(\d{3})/0$1/g' myfile_*
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