Make a power supply

Yes.

You will need an AC-AC wall adapter of at least 12VAC more would be better.

Use a voltage doubler type rectifier to get +/- ~15VDC. Use 7805, 7812, 7912, and 7812 to get +5, +12, -12, and a separate +12 in that order.

**broken link removed**

That is the basic circuit, except you will use the regulators to the +/- 12V as well as the other voltages. You can use multiple regulators on the unregulated + line to get multiple regulated positive voltages. It is also very safe as the AC-AC transformer is double insulated and low current.

The ggg project is missing the diodes (4 of them total) protecting the regulator.

But you need to consider the required current before you design anything. At 50-100 mA, these designs are pretty good, but much higher and you've got to do some math.