Try Antek for a toroidal transformer. Antek doesn't fill the center of their toroids with epoxy, so it is relatively trivial to add that additional 8V winding you were interested in.
You have a few options to combat your efficiency concerns. You never specified how much current you want to source, nor a maximum voltage. Assuming a 4A output with a 40V DC bus, at 5V you'd have about 150W of dissipation. That's a lot, but it can be managed with a reasonably large heatsink and cooling fans.
If you implemented tap switching on the transformer, that would improve the efficiency at low output voltages. If you don't want to wind a custom transformer, you can still implement this system. An AS-2218 has a pair of 120V windings on the primary and a pair of 18V windings on the secondary- this means that with some relay switching it can be configured to output 9, 18 or 36 VAC. This is very simple to implement, however, you will need a transformer for each of your 3 power supplies. If you're shooting for a 3A output, you may be able to use a 100VA transformer depending on the duty cycle.
There's another way that might be very interesting, however. The primary of the power transformer could be controlled by a variac driven by a stepper motor. You could set it to auto-track with the output to minimize the drop across the series pass transistors. I have seen this used in extremely large magnet power supplies and it works quite well. It can be quite efficient. The advantage of this over a buck converter is that you don't have to worry about it introducing high-frequency noise.
There are a few other ways to do this. First, you could use a thyristor-based "dimmer" circuit on the primary of the transformer. More than a few large power supplies use this technique, though I don't see much advantage of using it over a buck converter.
You could use a buck converter as a pre-regulator, but those are a few interesting options you may not have considered.
Lastly, and while this is generally frowned upon, you could simply accept the idea of lousy efficiency, perhaps implement the most basic of transformer tap switching, and live with 60 watts of dissipation. A few TIP35C or (TIP142 if you want a darlington) will be able to handle it without too much difficulty, and the heatsink doesn't have to be all that large if forced air cooling is employed. Efficiency isn't usually that critical with a bench power supply, especially since you probably won't be pushing it hard for long periods of time. Cooling fans can be kept off until the heatsink reaches a certain temperature (say, maybe 60 degrees celsius).