The regulators do their job by burning off voltage in terms of heat. Each regulator needs 3v across it to do it's job, so if you need + & - 16v you would neeed to feed each reg with at least + or -19v to regulate to + or -16v. 2x 19 is 38v.
Also the more voltage you drop across it the less current it will deliver. so if you had 20v being burnt off by the reg the current capability would be significantly less than the 1.5A these regs are specced at. This is shown as a graph on the data sheet. I tend to use maybe a 2x 15v or 2x 18v transformer. The rectified voltage is 1.4x the specced r.m.s a.c voltage of the transformer. Therfore 15v a.c becomes 1.4x15v once rectified, therefor you have you bit in hand for the reg to burn up. I normally bolt the regs to the case (with insulating mounting kit) to keep them cool.
Looking at the data sheet will help you understand these devices.