No problem full or half-wave rectifying after the Capacitor. Full wave recification is better if you are going to have a high current demand as you'll have less ripple on the main smoothing capactor. But for only a few mA you may find it's not worth the extra components and expense.

On the "mains" supplies, I recommend the use of X2 rated Capacitors only. If you already have a low-voltage supply, that's not so much of a concern. Put in a Capacitor whose voltage rating is at the minimum twice that of the off-load volatge of your AC Supply.