That looks reasonable. I like the idea of using trimpots to set the output voltages.
BTW I fixed your link so it points to the article. Previously it didn't work at all - the forum software included the trailing >> in the URL! You need to put the URL by itself.
The diodes in the bridge rectifier are under-rated at 1A. I would use 1N5404 (3A) or an integrated bridge (
http://www.digikey.com/product-detail/en/GBU4D/GBU4DFS-ND/1055186 USD 1.00) instead of separate diodes. Personally I would use more smoothing - 3300 µF or 4700 µF for C1 and C2.
The circuit has the weakness that if there's a break in the switch and the voltage setting resistors, the output voltage will go to maximum, which could damage your circuit. To avoid this, you would need to use a "shorting" switch, aka "make before break", where the moving part makes contact with the next contact before it breaks the connection with the previous contact, as you rotate it. These are a lot less common than the "non-shorting" aka "break before make" type, where one contact disconnects before the next one connects.
Actually there's a simple design change that allows you to use either type of switch and will improve performance and reduce the parts list! Connect your six voltage-setting trimpots between the output and 0V, and connect their wipers to the contacts on the rotary switch. Connect the common pole of the rotary switch to the Adj pin on the regulator, as in the current circuit, and change R2 to about 22k or so. Repeat the changes for the negative regulator. The voltage setting trimpots should be multi-turn ones with a resistance of about 2k:
http://www.digikey.com/product-detail/en/PV36W202C01B00/490-2880-ND/666507 (USD 1.51)
Edit: WRONG! Change R2 to about 22k and move the top end from OUT to the 0V rail, i.e. put it across C5. Same for the negative side.
The "non-shorting" aka "break before make" is the commonest type of rotary switch - see
http://www.digikey.com/product-detail/en/KC26A30.001NLS/EG1954-ND/101797 (Digikey's cheapest suitable rotary switch at USD 5.50). This type has two poles, so you could switch both the positive and the negative regulators from the one switch, assuming you wanted the rails to always be symmetrical.
Also, the fuse and the switch should both be in the phase line! Phase wire from plug --> fuse --> switch --> transformer.
The regulators will need heatsinking. Either separately or on the same heatsink. You'll need TO-220 insulating kits unless you use separate heatsinks and put them inside the case (you'll need to drill ventilation holes in this case).
Apart from that, it looks good. Here's a suitable transformer:
http://www.digikey.com/product-detail/en/VPS36-2200/237-1285-ND/666171 (USD 18.48). This transformer is rated for 80 VA which is a bit more than you need. The secondary voltage is 18-0-18 instead of 15-0-15 which I think is a good idea if you want to draw 1.5A out of each output. The smoothing capacitors (C1, C2) will have to be rated for at least 30V though.