Here is my completed 5 volts module. I put a bridge on it so that it can accomodate any reasonable input; a transformer or a wall wart, AC or DC.
I use a rheostat (0-40 Ohms, 15 watts) to find out, without calculation, what will need to be the value of the ballast resistor (R1) to give the voltage that I would like to have at the input of the 7805, in my case around 8,5 volts.
As it is in the last picture, a 10 volts DC wall wart adaptor is feeding the module. The load is 0.250A. The voltage prior to the bridge is 11.58 volts and 10.15 volts after. To get 8.5 volts at the input of the 7805, the rheostat value is at 6.2 Ohms. Ohms law would give 6,6 Ohms but it is close enough. The optimal value would be the one given by the rheostat anyway.
In this particular case, I would think that a resistor is not really essential, the heat sink should dissipate the heat. A jumper wire would then be used instead of the resistor.
(On edit) : With no resistor, the heat sink is at around 63C at a room temp. of 25C. Personnaly, I would put a resistor. 63C degree is not comfortable to the touch.