After building many different ones, I finally built one very similar to that and is what I use most of the time.Start with a transformer, center tapped with dual 15 volt windings. Add rectifiers, capacitors, and:
LM7815
LM7915
LM7812
LM7912
LM7809
LM7909
LM7805
LM7905
Assemble on pad-per-hole perf-board with each voltage supplying the next stage.
Use enough capacitance on the outputs to slow down the start voltage so the positive voltages don't block the negative regulators from starting up.
I've heard that a Shottky diode across each output will also stop the regulators from fighting when you first switch the power on.