If you dont have any experience with HV HF transformers you better start with a step-down transformer 240Vac/24Vac, use bridge rectifier and a ≈4700µ smoothing capacitor and then employ one of the switchmode step-down (buck) converters such as LM2576 or similar ( **broken link removed** ).
Right now I'm using a step-down transformer (240Vac/12Vac) and LM2576T-3.3. The inductor (100uH, 3A) specified in datasheet is costly. Can I go for a approximate value inductor? The transformer cost makes the power supply even more costly.
Visit www.powerint.com
Download PI Expert this will help you a lot in designing a SMPS like you wish, inclusive you will get detailes info in how to build the power inductor ( transformer )
Dont miss their application notes and tutorials.
Another site ( consider that most os power semis manufacturers give a lot of info ) is www.onsemi.com they bring a limited version of POWER 1-2-3 wich will allow to simulate your circuir ( of course using ON Semiconductor parts ) but anyway will be useful if you realize how ( askme if U don´t realize )
TI, FAIRCHILD, ST, PHILIPS, INFINEON, IR are also places where U willl be able to find lot of info and design guides.