First, current is usually the result of voltage & resistance (or impedance). (Ohm's Law)
Ohm's Law is a law of nature (with man-made units-of-measure) and it describes the relationship between voltage, current, and resistance. It's the 1st thing you learn when you take an electronics class.
Most of the time voltage is approximately constant and known or "controlled" and the current depends on the load.
We don't always know the resistance, and sometimes the resistance depends on conditions. i.e. If you turn-on an LED or motor, your circuit draws more current.
Do you have an example of a sensor and a link to the datasheet? Most "sensors" use very little current (assuming it's not a current sensor) and it's usually "limited" by the sensor itself and the applied voltage.
Certain components have a current limit. The "regular" Arduino is specified as 40mA "absolute maximum" from an I/O pin and 200mA combined maximum. That means you can drive an LED (with the appropriate current-limiting resistor), which typically is 10-20mA, but you can't directly drive a motor. A motor needs a transistor or MOSFET driver circuit and the transistor/MOSFET has to be rated for whatever current (and voltage) the motor requires.
The power supply also has to capable of supplying the required current.
Yes, it's OK to use a battery or power supply with a higher current rating than needed. For example, here in the U.S. there is 120VAC at the wall outlet and that voltage is always there. But, no current flows until something is plugged-in and turned-on. A hair drier or toaster uses more current than a regular light bulb. If you plug-in two hair driers, you'll draw too much current, the circuit breaker will blow and the voltage will be shut-off until the breaker is reset.
If you exceed a power supply's current rating, it may overheat and die, or it might shut-down safely to protect itself, or if it has a fuse the fuse will blow, etc.
In the case of batteries, usually the voltage will just drop if you draw excess current. But high energy batteries (LiPo, etc.) can overheat and catch fire! It's usually not easy to find a battery's current rating... Usually there's an amp-hour (or milliamp-hour rating)... That's a charge-life or "energy"rating, not the maximum current. i.e. A battery rated for 10Ahr will last for about 10 hours at 1A or for 1 hour at 10A.
A car battery can supply a few hundred amps (to turn the starter). But if you just hook-up an LED with the correct resistor you'll get about 20mA and the battery will last for a long-long time. (If you connect an LED to a car battery without a resistor it will die instantly and it might even explode!!!)
There is, but I can't help you because I don't use it. Usually, I just look-up the current requirements for whatever I'm using and I make sure the power supply can handle it.