No.. don't even follow that video.
I have doubts about people who use a gas lighter to heatshrink.
Also ,not one of those outputs is individually switched.
Not one of those outputs is fused.
Scenario; you build your pride a joy project on protoboard or PCB, you inadvertently short the 5V to gnd.
The 5V of the "supply" is capable of many, many, Amps, in some supplies 100A, that high current passes through the protoboard or PCB and blows EVERY track and possibly components to ruin your project.
So my question is how can i make match the energy from the power supply and what my components need( electromagnets: 12V,0.42A,5W/ LED: 5V / Arduino Uno :7-12V)
You don't have to match the current output.
Your circuit will only draw the amount of current it needs at the voltages stated, the specs are the maximum current you can draw from the supply.
So if your circuit draws less than the specified current then you will be okay.
But do you think I could power my project using all these diferents voltage with something smaller and maybe easier and cheaper than the bench power supply ?
Of course this is a huge mistake for this project. For the levitation you need to very precisely control the electromagnets to keep the levitating part balanced. Relays cannot switch quickly enough, MOSFET (or an IGBT) will be needed.
I would consider using a higher voltage power supply. Maybe 24 V? Or 19 V - common voltage for laptops so this can be relatively easily and cheaply obtainable.
Electromagnet is inductive and the current is proportional to its strength. You will need PWM control the electromagnets anyway and with higher supply voltage you can make changes in the current faster. You just need to make sure the duty is not too high for too long.