You should probably connect an external power supply to run the servos if you are planning on using it for an actual project.
You can safely power ONE SMALL servo off the arduino 5v source.
Don't try to go anywhere above that, because it will cause excess heat on the power regulator.
I just learned all of this, so correct me if I'm wrong.
Here is my very recent thread asking on how the wiring should be for external power:http://arduino.cc/forum/index.php/topic,91870.0.html
Here is the external power regulator that I'm using (it's a bit expensive because it is adjustable from 3v to 8v output):http://www.dimensionengineering.com/DE-SWADJ3.htm
Here is a 5v switching regulator that does 7A (i was planning on getting this one, but i needed my servos to run at full power for lots of torque):http://www.pololu.com/catalog/product/2111
Also, always use switching regulators for high power applications, because unlike linear regulator, switching regulators do not dissipate much heat and are highly efficient at high loads.