Work in progress: I'll add more text explaining how this thing actually works and a schematic image in the next few days.
There are already a few instructables about using linear voltage regulator chips to power low-voltage experiments and projects. This is my variation on those, using a low dropout regulator to allow lower input voltages and a coarse/fine adjustment system.
Step 1: Parts and Tools
You will need the following components:
LDO voltage regulator such as MC33269
TO-220 heat sink and mounting screw
Capacitors to filter the regulator's input and output circuits
240 ohm resistor
Two potentiometers: 1Kohm or more for coarse adjustment, 100 ohm for fine
I used trimmers for both pots, since they're compact and hard to accidentally adjust
Power connectors: a PCB-mount coaxial jack for input and screw terminals for output are usually the easiest to work with
3-4 square inches of perfboard
Some hookup or bus wire
You should have these tools available:
Pliers and wire cutters
A sharp knife that can carve your perfboard such as a regular #11 X-ACTO blade. (or a 1/8" drill bit)
Step 2: Circuit schematic
Check the datasheet for your regulator for details about what capacitor values should be used and how to wire an adjustable regulator circuit. Instead of a single variable resistor to adjust the voltage, I added a second one for fine adjustment. With the two resistors in series, the voltage depends on the sum of the two, so adjusting the fine control (which has lower resistance) will change the output voltage slowly.
Step 3: Mounting the power jack and regulator
The most common style of DC power jacks uses two large pins that are too wide to fit in standard perfboard holes. To be able to mount the jack, you need to cut wider holes in the board. There is also a third terminal on the jack used for a switch. Since this circuit doesn't use that terminal, and since it gets in the way, you can bend it out of the way or cut it off.
New method: I've also discovered that it's easier to just drill three holes with a 1/8" bit, widening the existing perforations.
Medium- and high-power linear regulators use TO-220 packages that can be mounted to a heatsink to safely dissipate more heat. Heatsinks made for TO-220 devices are usually a block of aluminum with a 4-40 threaded hole tapped near the top.
Step 4: Installing other components
Mount the remaining components on the board and solder them together according to the schematic.
Step 5: How to use it
Connect a DC power supply (AC adapter, USB cable, battery pack, generator, etc) to the input connector. Connect a voltmeter to the output and adjust the potentiometers to select the voltage you want. Finally, connect your load circuit to the output to give it power.