Such sensors ought to take very little power (e.g. the DS18B20 sensor that is included in that EC kit is routinely powered directly off the Arduino, no-one questions that). No specs for the sensor board, but it shouldn't take more than a few mA, and in the linked page it's suggested to wire that to the Arduino directly as well.
This sounds like either wrong wiring or indeed a faulty sensor, drawing way more power than it should, in which case you can likely find some rather hot bits on your sensor board.