Bench power supply "Issues that rouse during build"
A proper variable power supply will employ multiple taps from the transformer.  As you reduce your output voltage below each tap's threshold it will switch to the next lowest tap to keep the power dissipation at a minimum.  The more taps you can afford on your transformer the more efficient it will be.

Using linear voltage regulators to reduce a large voltage to a small voltage (24V+ to 5V) is idiotic unless you're only going to be drawing minuscule currents. The heat produced will be unmanageable.

Far better is to first reduce the voltage through a very efficient means, such as through a switching regulator.  If you don't need the smoothness of voltage that a linear regulator gives you then you can even do away with the (somewhat aged and ropey by today's standards) 78xx regulators and just use 5V and 12V switching regulators.

You can even use an adjustable switching regulator for the variable voltage output if you don't need it to be low ripple, or use a range of switching regulators to provide a range of voltages which you would use like the taps of the transformer to keep the input to the adjustable linear regulator as small as possible.  A microcontroller could be used to decide which input voltage should be used at any one time and switch to it as needed.

As for constant current...  You can have constant current or constant voltage, but having both is not really possible.  You can have constant voltage and limited current, but one of them has to be variable.

For an LM317 constant current supply the current set resistor goes between the OUT and the ADJ, and you take the output from the ADJ pin.  There is no resistance to ground.