A triple voltage supply from a dual supply
Figure 1. OP's original circuit, since removed.
You haven't copied the power supply from Music from Outer Space correctly.



simulate this circuit &ndash; Schematic created using CircuitLab
Figure 2. You can't always get what you want. This time you're lucky.
Your arrangement in 1(b) has no ground reference between the supply and your capacitors. The voltages will be all over the place.
1(a) will work.
One fuse will suffice. Add it on the upper winding output. That way it provides protection should anything happen on the diodes or smoothing capacitors.

Figure 3. The RS 78xx series switching regulator.
There are a variety of three-pin 7805 replacements which have a built-in switching regulator in a package a little bigger than the 7805 1 A version. Use those for efficiency. e.g. RS K78xx series.