Thanks for all the comments!
Since I am essentially using the regulator as a voltage divider I thought the bare minimum would suffice. I agree I could have used resistors only but since I am new to electronics, I wanted to learn about the LM317 and so far it has been fun to play.
I am using a 3V relay because the 3V will be flowing through a series of switches that are rated for 3V. The goal is if one of the switches opens the relay will collapse, and a 12V LED warning light will turn on. I am using the 12V from the LED warning lights power supply to regulate my 3V. Attached is a more detailed schematic of the full project.
I am really focused on the circuit working and being safe, so if I need to add more that is fine but I would like to understand why. Currently, the 3V relay draws 60-70mA(this is the only thing the 3V is being used for) and the LM317 is running about 50C. This will be running 24/7, therefore, I want to ensure long-term reliability.
Lowering my R1 resistor and adding a heat sink to the LM317 is easy enough so I will make those adjustments. Should I add a bridge rectifier, another cap, and a couple (Zener?)diodes for this application? Does my schematic make sense, or do I need to make adjustments?
All the feedback is appreciated, reaching out to the forum has been amazing.