If you want to power the ShieldBuddy off an external 9V to 12V power supply, you may find that the 5V regulator gets very hot. This is especially true if you have a shield fitted which draws significant power.
This heatsink helps! It is from Farnell, part number 430-2345. It is attached using the special thermal sticky pads, also sold by Farnell. The regulator will still get quite hot but the junction temperature should stay within the safe limit.