You didn't say how many milliamps or amps the PS is supposed to provide. Any way you do it, when you drop voltage, you give off heat. Some schemes are more efficient (less heat) than others but, basically, you wind up building a heater.
A silicon diode (1N4001 - 1 Amp) drops about 1.1V so 3 or 4 in series will drop quite a bit. But it's still heat! Each diode is generating about 0.7V * <whatever current in amps> -> power in Watts.
http://www.vishay.com/docs/88503/1n4001.pdfPay attention to the peak repetitive current. When you put a LOT of capacitance at the output of the rectifiers, the cap voltage stays pretty high. This means that the diodes only conduct when they have a voltage higher than the capacitors and that conduction angle (in degrees, converted to time) might be pretty short. Infinite capacitance would result in a 0 degree conduction angle.
But again, without knowing how much current is desired, it's hard to recommend a solution.