Do you intend to have audio earth and safety ground connected? Your description suggests that is what you are doing, but is it intentional?
Typically with a valve amp you will have the audio circuit ground floating by about 10 ohms above safety ground (which is the chassis and mains earth) - try to think of them as separate entities, and connect all the audio circuit earths together, and decide whether you directly connect to safety ground at one point, or via a safety loop breaker circuit like the one here: http://sound.whsites.net/earthing.htm
A great article on earthing audio equipment is here: http://www.diyaudio.com/forums/diyaudio-com-articles/163575-audio-component-grounding-interconnection.html
I recommend reading and reflecting on it
Your umbilical cords between the psu box and the audio box should have 2 "earths" one for the audio circuit to connect to the psu ground, the other from the chassis earth to connect to safety ground/mains earth.
For the DHT filaments, there should be no connection to the audio ground until you connect the output of the Coleman reg as shown in ale's circuit diagram. the Coleman regs are designed to float.
If you continue to run into trouble, sit down and draw out exactly what you have built, not the circuit you are trying to replicate, but every connection you have actually made. It will either help you spot the problem, or will help you get help from somebody else.
The fun bit is running into trouble, it is the route to all true enlightenment.
Best of luck