Why not use a transformer and pre-regulate the voltage by clipping it
off when it exceeds a value 1.5V higher than the regulated output
voltage? A standard transistor based regulator with low voltage drop
regulate down to output voltage. Only 1.5V voltage drop makes it
possible to do it up to 500mA without using heat-sink. It is the same
methode as used in direct-main power supply's and they work without
heat-sink's, even if the input voltage is connected direct to main.

Regards,
Jens Dyekjfr Madsen