The data pins are rated at 40 mA
That's maximum, not recommended as the norm, as retro says, stick to around 20mA.
If I do end up needing to power other components separately due to current limitations,
Use whatever is providing your VIN, regulate that down to whatever the other circuitry needs an dmake sure everything has a common GND.
is something like this the correct solution
I haven't used them but they seem pretty good (another similar thing is the TRACO TSR1 series). You can of course use any regulator, you just need to look at the circuit you want to power and select something suitable.