With regard to the transformer I have this one: http://uk.farnell.com/pro-power/ctfcs50-12/transformer-50va-2-x-12v/dp/1780891
It has 2x12V output. I assume this is two secondary windings and not one winding which is centre tapped? I wanted to produce +12V 0V -12V but this doesn't work - I end up with two +12V rails. I did this by joining the two grounds together.
As the datasheet for that transformer says, there are two secondary windings. For plus and minus voltages, you connect the two windings in the middle and that middle becomes the common, like in your picture. But, note that in your picture there's a capacitor missing for your negative voltage section.
In fact, here's a more detailed schematic for your +/- 12v power supply :

You can ignore the F1 (fuse, optional) and just assume your secondary windings are 12v, not 15v as the picture says.
When AC voltage from the two secondary windings is converted to DC using the bridge rectifier ( the four 1n4007 diodes), the voltage coming out will be a bunch of DC pulses that have a peak voltage equal to 1.414 x V ac , minus the losses in the two diodes that are always working ... so, you have peak voltages in the range of 1.414 x 24v = 34v.
Now if you look at the datasheet of the transformer, you will notice there in a chart a column saying
Reg%, and for your 50 VA transformer, that value is equal to
9. In a simplified way, this means that when you don't use a lot of power from the transformer, when it's not "loaded", the output voltage of the transformer may be up to 9% higher than normal. Rounding it to a 10%, it means our peak DC voltage of 34v could actually be about 38-39v, or about 17-18v on each side of the common wire.
This is before we take in account the losses in the diodes. Depending on which diodes, the losses are anywhere from 0.3v per diode to 1-1.2v per diode, for 1n4007 you can safely work with 0.7v per diode.
So anyway, the point is that after all's said and done, right after the diodes, you could have DC voltages that have peaks which could be above 16v, so you should use capacitors rated for at least 25v.
Like I said, after diodes, you'll have a series of DC pulses, 2 x fAc ... if you're in US where you have 60Hz mains frequency, then you'll have 120 pulses of DC on each side of the common wire. In Europe, you'll have 100 pulses.
That's where capacitors come into play, they charge up with energy when the pulses reach their peaks and fill in the gaps when the transformer doesn't provide the power needed.
Depending on how big the capacitor is, you can make sure the voltage on each side never drops below a particular amount of voltage. There's a formula which can tell you how much capacitance you need to keep the voltage above a particular level, and that's done with this:
C = Current / ( 2 x fAC x Vripple) where Vripple is how low you're willing to let the voltage go down from that peak voltage, down to a minimum voltage.
The current amount is how much current you expect your devices to consume. But basically, you have a 50 VA transformer and 24v output, so your transformer can provide 2.08 A of current, but after rectification and all that you're looking at about Idc = 0.62 x I ac = 0.62 x 2.08 = 1.29 A. So each side of the common realistically will only be able to provide up to about 0.7A of current.
In the picture above, a 7812 and a 7912 linear regulator are used to smooth out what comes from the capacitors and to provide clear +12v and -12v.
If you look at the datasheet for such linear regulators ( see
here or
here you will notice a line in the charts saying Dropout Voltage and a typical value is 2v at 1A for these linear regulators. This means that if a device wants 12v and pulls 1A of current from the linear regulator, the regulator must have at least 12v + 2v at the input to work properly, otherwise you get less than 12v at its output.
There are regulators out there that don't need as much voltage above the output, for example 1117 linear regulators only need about 1v, but let's go along with these classic 7812 and 7912 linear regulators.
Since we know from the math above that our maximum current on each side will be about 0.7A, and let's assume you're in US where you have 60 Hz mains frequency and let's assume you'll have peak voltages of about 16v then let's figure capacitance to always have at least 14v :
C = I / ( 2 x fAC x Vripple) = 0.7A / [ 2 x 60 Hz x (16v-14v)] = 0.7 / 240 = 0.002916 Farads or 2916 uF. Of course, there's no such thing, it's not a standard value, so you can go with the next standard value which is 3300 uF or maybe you don't really need to design this for 0.7 A on each +12v and -12v, maybe you're satisfied with only 0.5A on each side, or even less, in which case you can do the math with the new current value.
In the picture above, C3 and C4 are decoupling capacitors, and those must be ceramic and close to the input and ground pins of the regulators. C7 and C8 are a bit "overkill", they're not really required, and C5 and C6 can be any value you want within reason ( 10uF - 220uF, won't make much of a difference, and the voltage obviously has to be higher than 12v, so use capacitors rated for 16v or more)