A 5V regulator acts like a controlled variable resistor. What I mean is as the voltage goes up the regulator changes its resistance so the output stays at 5V. that wasted energy gets tuned into heat. What you can do is attach the tab on the regulator to a piece of metal and give it a bigger radiator to get rid of the heat. Just be careful what the metal touches as it coulf short against the pins of the regulator and short out.
Depending on the output rating of your wall transformer (wall wart...) they will run warm when used at near their rating. A 5V regulator is not very efficient and supplying one with 12 V means abut half the output of the transformer is heating the regulator.