As others have noted, you need a certain minimum current through the resistor-network; I've generally used a 5K variable, *and* a separate load-resistor from the +ve output to ground to place a consistent load on the chip.
The diodes and decoupling caps are highly recommended too!
[I've used loads of the TO3-cased LM117/LM317 3A-rated "Steel" regulators in the past and they behave well if treated well; I've also built quite a few little power-supplies using a Vellemann kit
http://www.velleman.co.uk/contents/e...198_k1823.html
based on the TO220 LM317 and they work just fine for powering Roberts radios like the 707 and 606].