LukeZ: Yeah, running power through VIN seems to work though I've only tested the shield by itself on the bench and not with the Arduino in the final application.
For my application having different tensions isn't so easy, so I was thinking about 12V both for Arduino and the GSM shield but in parallel. Sounds good to you? I can manage to have a 5V line for the Arduino itself and a 12V one for the GSM shield, but only if not possible in other ways.
Thanks for sharing LukeZ, I really appreciate it.