Have a read throught this http://www.mycncuk.com/threads/9268-...se-Spindle-VFD. Message #46 gives a good diagram for all the electrics and shows where to put fuses or MCB's. One nice thing about the UK is we have fuses in our mains plugs, so if something goes wrong there is generally a fuse that will blow before any major damage is caused.
Because you are using a torroidal transformer, the inrush current (how much current is taken when you first apply mains power) can be many times the rated current of your transformer. You may have to use a bigger fuse than you think, but also be carefull to not go too far as you could cause damage if you do get a short.
Can I also make a suggestion to you. The wires from the transformer to the rectifier and to the capacitors should be much shorter and more heavy duty - at least the same wire size as the transformer wires.