As WBaln suggested, you will have to quote the actual very circuit you used for anyone to help with this.I realize this post is 10 years old, but for anyone still curious—I assembled the circuit on a breadboard using an LM338 and substituted the 2N3055 with an MJ11032. I omitted the diode and tested the circuit with transistor under load, and it performed flawlessly.
In general though, these circuits usually work when they are made according to known circuits that have already been built in the past. The last one quoted here looks bad though because it looks like it relies on diode voltage drops which is never a good idea for constructing a well-regulated power supply. That's another reason why you have to show the actual circuit you want to use.
To be just a little bit more general though, you probably want to look into a buck converter circuit. That kind of circuit can save energy thus making the whole thing more efficient, and at the same time regulate the output quite well. Those are the preferred circuits in the modern age. It will be slightly more complicated, but you can even buy ready made circuit board for low cost on the web and all you have to do is turn a pot to adjust the output to whatever you need.
You also might want to mention how much voltage and current you need on the output, and what the range of your input voltage is. You may even want to look into a buck/boost circuit.