Bridge rectifiers are usually marked with ~ for each of the two AC inputs, and a + and - for the DC outputs. Connect the red and orange wires of your transformer together to give you a centre tap you can use for the zero volts line if you are making a split supply (which it looks like you are), and this then becomes the "ground" for all the stuff on the DC side like your regulators, smoothing caps and anything else you put in there - it's all either positive relative to ground or negative relative to ground. Connect the black and yellow wires to the ~ inputs on the bridge and you should be set.
Panic mode has posted some good rules about filtering - but read the data sheets for the specific regulators you will be using to find out more exact details, for example, they may recommend a ceramic cap connected to the output somewhere.
Make sure you put filter caps both before and after the regulators.
If you are not making a split supply, (ie, you're making a single supply) you still need to connect the red and orange wires together, just don't connect them anywhere else (that is, to get the voltage of both windings in series.) In this case it's usual to use the negative DC output from the bridge as "ground". If you only need the voltage of one winding, you can connect them in parallel - that would be black to orange and red to yellow - oh, but I see it says that on the datasheet anyway.
Just re-reading the thread - it looks like you expect to be dropping about 14 volts across each regulator. You should be careful about how much current the supply will be supplying - amps x volts = watts. I don't know offhand what the wattage limits are for these regulators, but you are going to need some serious heatsinks if the current you draw is in the hundreds of milliamps and up. At 1 amp you'd be looking at about 14 watts, which is HOT.
Suggest you read this thread/watch the videos. It's very good.
https://www.electro-tech-online.com/threads/power-supply-design-for-beginners.113613/
HTH.