Modifications to Neon Sign Transformer to turn it into a variable DC power supply?
You need diodes to rectify the HV   AC  output to make DC and depending on your application the HV  DC should be filtered.A filter capacitor rated for the job is needed.You could get these parts by stripping out  dead microwave ovens of the older type that still uses 50Hz components .Its probably best to make a fullwave bridge rectifier with the diodes and use the caps for filtering .If you just cant find HV parts then you can place components in series to make the high voltage rating .Since this is only 50Hz then simple balancing resistors across each part will work satisfactory.I suggest that you use a Variac to give you the variable voltage .If you wont do a variac then at a pinch a light dimmer could work .Now if you dont know what you are doing then dont do this proposed PSU or any HV.