I agree with Lyle. It's a good idea to do that. If you for instance look at the schematic for the Roland Juno 60, you will see that they do the same. And i would do all the regulators.
Just a warning you will need a serious heatsink on the 7805. The transformer you will be using is at least 12VAC. Rectified it's close to 17V. As said there will be some losses, but it will still have to eat away something like 10V x the current. So if your setup draws 1A in current, that will be 10 Watts heat dispensation.