Ptss, you have it right. In my DIY balanced power supply, I put a big EMI/RFI block filter with good differential noise reduction figure ahead of the transformers.
http://i994.photobucket.com/albums/af67/mr_classe/Balanced%20Power/b_08.jpg~original
http://i994.photobucket.com/albums/af67/mr_classe/Balanced%20Power/b_10.jpg~original
http://i994.photobucket.com/albums/af67/mr_classe/Balanced%20Power/b_08.jpg~original
http://i994.photobucket.com/albums/af67/mr_classe/Balanced%20Power/b_10.jpg~original