Running Arduino on 12v + running load on same 12v?

Osgeld:
otherwise your arduino's voltage regulator might run a little warm, but it should be fine as it has protection in the IC

I have also purchased one of these:

LM2596 DC-DC Step Down CC-CV Adjustable Power Supply Module Output DC 1.5V-35V

http://www.ebay.com/itm/LM2596-DC-DC-Step-Down-CC-CV-Adjustable-Power-Supply-Module-Output-DC-1-5V-35V-/250954117473

Not sure if I need it since I am unsure if this is better than the simple Voltage Regulator on the arduino?

Would it be worth putting this inline?

Chris