Hy Captainate,
Where are you from: care to put it next to 'Location' in your user page so that it displays in the window on the left of your posts.
In the circuit below, make R1, 120 Ohms, R2, 470 Ohms and fit C1, a 100nF (0.1 uF) disk ceramic capacitor (not surface mount) as shown. Make sure that the layout of the three components is compact and that the leads on the components are as short as possible. This will reduce the chance of the LM317 oscillating. If you always make R1 120 Ohms when using an LM317 or LM337 you will ensure that the minimum current of 10ma is always drawn from the LM317/337 (as Alec says in post #4).