Is there a general rule of thumb for how much leeway to give allot for the current?
In this case, the 1400mA stall current is the "worst case". Assuming you are not putting a heavy load on the servo, or running it a maximum speed all the time, etc., your typical/average current draw will be quite a bit less. You probably don't need any more than 2800mA for both servos, plus whatever your Arduino and other stuff (laser?) is using.
Is there a risk of supplying too much current?
No. The current rating on a power supply is it's maximum capability. The current flow depends on the supplied voltage and the resistance/impedance (i.e. resistance to current flow) of the load. The specs for the servo won't show you the resistance (and it changes with the mechanacal load), but they will give you the maximum current the servo will "ask for".
Voltage, current and resistance are related by [u]Ohm's Law[/u] (1 Volt across 1 Ohm results in 1 Amp of current flow).
With a power supply, the voltage is constant (or almost constant) and the current flow depends on the load. If we try to "pull" too much current from the power supply (too low of a load resistance), Ohm's Law is always true, so the voltage will drop (and the power supply might burn up).
A general question, how can I hook up these power sources to my breadboard?..
...Is there a max voltage or amperage that I can supply to a breadboard?
I'm not sure what the ratings are, but I'll guess. :D I wouldn't run 3 amps through one of those plug-in breadboards. I suggest wiring the servo's power supply & ground without going through the breadboard. (The signal line can come from the breadboard.) The voltage shouldn't be a problem. I'd just avoid running 120VAC or 240VAC on a breadboard...
Can I just go in and snip off the ends of a regulated wallwart or battery pack and hook it up directly to the breadboard?
Sure! Of course, you'll void your warranty, but that's normal... I just made an "unauthorized" modification to a magnifying lamp this morning! And I've got plans for modifying something else I'm working on. :D Or, you can use a matching connector.
I've seen people use diodes or capacitors when using this stuff on the breadboard, I'm guessing to prevent any surges or shorts.
It's hard to say what the capacitors/diodes are for.. They won't really provide that kind of protection, but they can be used to somewhat isolate the electronics from motor noise on the power supply line.