it's late at night, so if i goofed in this drawing, somebody please let me know.....
if you're feeling a little bit ambitious, and you have some parts, here's a regulator that's a bit more flexible than the standard 3 terminal types. this is basically very similar to what's inside the little 3 terminal ones. it's also a good opportunity to learn how they work. Q1 is a series pass transistor, and does most of the "heavy lifting" in the circuit. it's an emitter follower amplifier, which means it has current gain, but no voltage gain, and the emitter is the output element. Q3 and 4 are a differential amplifier. they respond to any difference between the voltages on the bases. the output of the diff amp is in the form of a current, which drives Q2, which is a voltage amplifier driven by the output current of the diff amp. Q2 and R4 form a voltage divider, which supplies drive to Q1. the zener is a 5V voltage reference at the noninverting input of the diff amp, and the feedback from the regulator output comes from the voltage divider of R5, VR1, and R6. basically the diff amp compares the voltage on the wiper of VR1 (connected to the inverting input of the diff amp)with the zener voltage, and changes the drive to Q1 to maintain a constant voltage. the load (whatever circuit you are feeding with this) is the load resistor for Q1 (the voltage divider isn't much of a load, and is only there to provide feedback for the diff amp.
there is a voltage drop of 0.7V between the base and emitter of Q1, but since there's feedback, this is compensated for.
the diff amp and voltage amplifier section is basically an op amp (with up to about 800ma output current, which you can't do with most op amps). Q1 is good up to about 3A, and should be heat sinked for any loads above maybe 100-200ma. Q3 and Q4 can use any pnp (they have to be the same type) as long as the BVceo is 20% or more above the input voltage. the resistor feeding the zener may have to be a higher resistance with voltages above 40V.
hope this helps.running an LM7805 or 7812 without a heat sink with 32V input is a very bad idea. and the 78xx regulators have a max input voltage of 35V, so 32V is pushing the envelope.