And Do I put gnd from the power supply to one of the gnd on the arduino?
Yes, otherwise it won't work.
Should I put the regulated 5V from the power supply to Vin on the Arduino
Yes.
how to I tell it to run when I use the external supply?
Depends on the version of the Arduino you have. There is a link on the Decimila that swaps between USB and external power. Other versions switch automatically.