I see a few issues.
Firstly the pin connections on the negative regulators looks incorrect, check the datasheets, the pinout for the positive and negative versions are different.
The other thing is that you have the ground pin of the regulator going to ground through a 5k resistor, that seems a very high value, I suspect the regs will not like that, usually the ground pin goes direct to ground.
I'm not sure what you mean by what switch to use, a standard double pole switch on the input would work fine, connect the ground direct to the transformer.
You could use leds to prove there are outputs for each supply, you need a current limit resistor for each one, 470 ohm for the =+ and - 5 volts, and 1 k ohm for the + and - 12 volts.