I plan to use a 7809 and 7909 with a SPDT switch on the +/-12V output, to produce 9/12 volt interchangably (but using different output sockets), and add a slow-blow 1A fuse to the 0v output.
The 0V rail is internally bonded to earth ground in the power supply. If the output shorts to the metal case or another earthed object like a metal radiator the fuse won't blow.
Put fusses on all the outputs you intend to use. The power supply should be protected against short circuit anyway but you never can rely one it.