Yes, because i will use calls too.
http://tronixstuff.wordpress.com/2011/01/19/tutorial-arduino-and-gsm-cellular-part-one/
The GSM shield can often require up to 2A of current in short bursts – especially when turned on, reset, or initiating a call. However your Arduino board can only supply up to just under 1A. It is highly recommended that you use an external 5V power supply capable of delivering 2A of current – from an AC adaptor, large battery with power regulator, etc. Otherwise there is a very strong probability of damaging your shield and Arduino. Ignore this at your own risk. When connecting this supply DO NOT use the DC socket on the Arduino. Instead, connect the 5V (positive) from the supply to the 5V pin on the GSM shield, and the negative to the GND pin.
I'm using linear regulator because it is easy to make and it is only a school project. So i will only use it once. I already have a big heatsink and thermal paste so generating heat is not a problem.