The simple formula for power dissipation is the current squared times the resistor value so for an output of 3A then each 0.33 ohms resistor has 0.75A in it and the power dissipated is 0.186W. A 1/4W resistor will be fine.
The 0.22W resistor with 3A in it dissipates 1.98W so use a resistor size larger than 2W because a 2W resistor dissipating 1.98W is extremely hot.
If you add an LED in series with 1k at the output then it will not light when the output is less than 2V for a red LED or 3V for a blue LED. Also when the output voltage is low then the LED will be very dim.
One problem, all opamps have a frequency compensation capacitor to prevent them from oscillating at a high frequency when negative feedback is used because phase shifts in the amplifier change the negative feedback to positive feedback at high frequencies. Try a 100pF capacitor between the base and collector of your Q3.