Do you heatsink the LM317T?

Yes, just out of practice. Too, everthing is mounted on and in an aluminum box.

I think there'd be too much too put inside a wall wart.

As for small amounts of small parts that were inquired about by another...

I've had great succes in ordering non-Shack stuff from All Electronics:

http://www.allelectronics.com

I have a mail order catalog of theirs, too. In it is listed a multi-volt/1-amp
wall wart, but it is a switching power supply, which would probably cause noise
on the bands.

73,
Bill, K5BY