"If I want to get 12V DC, should the transformer output be 12V or a little higher like 15V?"
There is no simple answer to this as it depends on the transformer's internal resistance, the reservoir cap value and the load current in quite a complex way. 12Vac will give about 1.4X12 - 0.7 Vdc offlload -about 16Vdc - but that will drop to nearer 12V under full load. In other words probably enough for a featherweight load but regulation will be lost under substantial loads.
15Vac will give about 20V at the regulator input and thus be a safer bet, as it will always be enough to allow for the regulator drop.
The main disadvantage of upping the supply to a linear regulator is that the heat dissipation goes up by leaps and bounds. Unlikely to be a problem with the current drawn by a preamp though.