If the transformer stinks this means its temperature is way too high, which means it is delivering way too much current. I assume you haven't connected any loads to your power supply, so it should only draw the idle currents for the regulators, which are a couple tens mA at worst.
Check your wiring for a short somewhere.
Check polarized capacitors are connected with the proper polarity.
Remove voltage regulators and check with continuity tester in diode mode. You should measure a diode threshold or more between each pin. If two pins are shorted together, there's a problem.
Divide and conquer: if the problem persists with voltage regulators removed, then the problem is upstream of the regulators. Then put them back one at a time, and find which one is trouble, then look downstream.