That way.
C2 for reference noise reduction (10-100uF)
R2 for stability (isolates opamps output from capacitive load), somthing round 30-100 ohms
R1 should supply enough current to the zener to work in suitable area of its VA characteristic. Recommend using 5V6 zener with a diode in series to compensate for temperature drift
R3, C4 compensation cell. Depends on actual circuit. I'd expect R3 in kohms, C4 tens to hundreds puffs. Maybe someone more experienced will help with this.
Q1 should not use TIP31, bcs of very low hFE. Use darlington instead. Like TIP122.
Note that this circuit configuration provides output voltage from zero to Vref(zener) maximum. For higher output voltage, the amplifier should be connected as noninverting amplifier and the placement of compensation capacitor C4 probably changed.
More advanced stuff: For the regulator to be more idiotensicher-bombenfest, overcurrent protection should be added (small signal NPN, current shunt and one other resistor at least) and protection diodes should be connected. One anti-pralellel over output, second from output to the input and third between emitter and base of the darlington. In that configuration, R2 should have around 1k. The power darlington then must be with high beta.
Even more stuff to make it better: If the wiper of the VR1 loses contant with the resistance track, the opamps imput will be flying, picking noise, or just shoots to the sky by the bias current. That makes the output of the regulator go at maximum voltage. An easy fix can be done to that: Add about 100k resistor between the noninverting input and ground. Adding a small cap accros it as a bonus will help to smooth out short dropouts of the wiper when turning the (more or less) crusty pot.