Yeah like other's said, you would need a huge heatsink to keep 1 TO-220 package from cooking, once you get over a few watts across it.
My 1st DIY PSU was some LM317 one, I need to make a another multi-rail, adjustable version, just for small breadboard circuits. But yeah, I'll have to read up on heatsinks and all that again, to make it safe.
One thing about the reference with 500R and a zener in parallel with 500R, why have the lower 500R, IDK if it's good or bad, but I just don't remember seeing people have resistors in para. with zener's as a reference, and not for clamping reasons.
And you really want a capacitor on your reference voltage too.