There are already a few instructables about using linear voltage regulator chips to power low-voltage experiments and projects. This is my variation on those, using a low dropout regulator to allow lower input voltages and a coarse/fine adjustment system.
Step 1: Parts and Tools
LDO voltage regulator such as MC33269
TO-220 heat sink and mounting screw
Capacitors to filter the regulator's input and output circuits
240 ohm resistor
Two potentiometers: 1Kohm or more for coarse adjustment, 100 ohm for fine
I used trimmers for both pots, since they're compact and hard to accidentally adjust
Power connectors: a PCB-mount coaxial jack for input and screw terminals for output are usually the easiest to work with
3-4 square inches of perfboard
Some hookup or bus wire
You should have these tools available:
Pliers and wire cutters
A sharp knife that can carve your perfboard such as a regular #11 X-ACTO blade. (or a 1/8" drill bit)
Step 2: Circuit Schematic
Step 3: Mounting the Power Jack and Regulator
New method: I've also discovered that it's easier to just drill three holes with a 1/8" bit, widening the existing perforations.
Medium- and high-power linear regulators use TO-220 packages that can be mounted to a heatsink to safely dissipate more heat. Heatsinks made for TO-220 devices are usually a block of aluminum with a 4-40 threaded hole tapped near the top.