If you need two +ve rails - say for Naim preamp, then its best to separate them as early as possible, so that loading on one rail doesn't modulate the other. Having said that, a decent regulator should prevent this from happening. It also depends on budget and space. Its probably better to buy the best transformer you can afford, rather than two cheap ones, and likewise rectifier and primary smoothing caps, then split before regulation, and maybe if there is budget, regulate down in two stages. Never done any meaningful direct comparisons, but a two stage regulated "Hi-Cap" I built for a friend was better than my single stage one I did for myself - which is why I'm planning a rebuild.