Check out the specs sheets on a LM317 adjustable voltage regulator.
Or any other adjustable type regular. There are switching types too that have higher operating efficiencies as well but doe take more parts and are harder to build.
At the top of this page is "link" to search this form. A search for "regulated power supply" produces over 100 results. A little work on your own goes a long way.
See the LM317 data sheet. From there, it's mostly a mechanical design.
All you have to do is design one power supply using an adjustable regulator and get it working. Then build five more to fit in the same box with different calculated outputs and you're done. It's up to you whether to share one transformer or use several. The biggest decision you'll have to make is whether you want all of the (-) terminals to be common, or not.
yah! class project.. haha.. we already have our circuit design. we also tried to build a power supply. we just don't know why 2 of the LEDs aren't working. and if we measure the voltage output at each, it remains constant. voltage output should change from 3 then 5 then etc...