You might just want a lower current wall wart. The Arduino analogWrite will change your average current, but it will more directly change your voltage. So if you need a 12v power supply for the stepper, the PWM from Arduino will drop the voltage and give your problems with the stepper. Or you could build a current limiting circuit on your device, but that will probably also get hot. If you're just testing and you have no other power supply, try hooking up a few other devices to your supply to drop the current.