LM338, which capacitors to use
In case there are instances where there will be no load OR if load is disconnected, consider the following.  


  A 250-Ω feedback resistor between OUTPUT and ADJUST consumes the worst
  case minimum load current of 5 mA  


Regarding the capacitor, go with the datasheet spec. atleast for input voltage:


  CIN: 0.1 μF of input capacitance helps filter out unwanted noise,
  especially if the regulator is located far from the power supply
  filter capacitors.  


Output capacitor is optional:


  COUT: The regulator is stable without any output capacitance, but
  adding a 1-μF capacitor improves the transient response.  
  
  certain values of external capacitance can cause excessive ringing.
  This occurs with values between 500 pF and 5000 pF. A 1-μF solid
  tantalum (or 25-μF aluminum electrolytic) on the output swamps this
  effect and insures stability.




Finally, 14 W of heat is dissipated, which is okay for the device. But, consider it wisely.