For a dual supply like that where the load is not well known, it is generally a good idea to put a diode (1N400x are usually OK) across (i.e. to ground) each output to protect the regulator from wrong-polarity bias on its output. Some regulators won't start up properly if their output is pulled more than slightly to the "wrong" side of ground.
An inverse diode from output to input of each reg will also protect the regulator in the even that the input supply drops while something holds up the output voltage (e.g. battery) and the circuit design is such that reverse current could flow through the regulator. Reverse current can damage the reg. Bench supplies suffer all sorts of indignities.
I haven't used one in many years, but I have a vague, possibly wrong recollection that the 337 should have more than 1 µF at its output for good performance. Some negative regs are a bit on the slow side so more capacitance helps with regulation with fast-changing loads.