Devices only draw the current they need, you can connect a 1000A 5V supply to any 5V device and expect it to work as normal (unless its got a short circuit, in which case bad things happen).
You should route the 5V supply directly to the devices, as well as to the Arduino. The current shouldn't be
flowing through the Arduino at all. Same for ground connections.
What kind of sensors though? If high currents are involved there may be issues with IR losses in
the cabling adding small voltage errors to the sensor outputs (if analog).