The circular component is the full wave bridge, in which 4 diodes live in the configuration shown. Note the plus, minus and the ~ (which means AC input)
Match those with the schematic. It's a bit cheaper to use the single component as opposed to the 4 diodes in the bridge, but either way works fine. In the picture, only the + has a marking, the - is opposite... the 2 others at 90 degrees from plus are the ~, normally used for AC input, but we are using it differently.
Realize the string of diodes in a "row" is where you adjust the final top voltage.
I would pick 3 amp diodes, and put a fuse after it to the track... if no fuse, you could overload the diodes and short one out, depending on the short and the max current of your power supply.
Basically if you trace the current flow, the FW bridge makes the circuit work in either polarity (forwards or backwards), and the string of diodes is the part you adjust (more or fewer diodes) to reduce the voltage... each diode is responsible for 0.7 volts drop. If you trace the circuit the current goes through 6 diodes, i.e. 6 time 0,7 = a voltage drop of 4.2 volts.
The circuit can go into either lead to the track, does not matter.
Greg