You can go whatever route meets your needs & budget.
I went with the switching regulator as creating 5V from a 12v supply with a LM7805, the unheatsunk 7805 for the main box got really hot! Didn't measure the current, but I didn't all that heat in the box.
For a solenoid, yeah, maybe not so critical. Check its specs, see what absolute max it can handle.
As to what's appropriate when, hard to say. Depends on budget, enclosure, end use, etc.