You can use the transormer in the switch mode power supply, you don't have to build one that runs directly off the rectified mains, in fact I wouldn't recommend that. Just connect the usual bridge rectifier and filer capacitor to your transformer and stick a switching regulator on the output.
Although it will use more components, it'll still work out cheaper as big heatsinks and fans are very expensive and will outweight the cost of the extra smaller components. Building switchng power supply will also give you more experiance than just building yet another linear power supply.