One simple method to utilize external regulated +5vdc for an Arduino board is to take a spare USB cable and lop off the PC end, ID the the + and - power wires and wire that to your external PS. You can then power the board by plugging it into the Arduino USB connector. No fuss, no mess.
If you wish and your PS has greater then 500ma capacity, you can also use your external power supplies +5vdc terminal to run seperate power wires to external components and not worry about exceeding the 500ma polyfuse rating.
Lefty