I'm looking for a small sized unit that I could add to my pcbboard to get 5 volts to run my Arduino project, and be fed off of 120 V AC.
Please, just be careful with the high voltage! Try to insulate the AC, so you can touch the board when it's running without killing youself...
I won't say, never put the power supply on the same board as your low-voltage circuitry, but it's something I'd try to avoid (if you have the space, etc.).
Most manufacturer's (not all) will put the power supply on a separate circuit board, sometimes with an extra cover over it so you can open the case and touch stuff safely... It only gets dangerous when you start messing with the power supply section. I assume you've looked inside a computer and noticed that the power supply is in it's own box and you can't get shocked unless you open the power-supply.
Another "trick" of manfacturers is to use a "wall wart" supply. Most of us hate that (unless it's a just a charger), but the manufacturers like it because they can buy a regulatory-approved power supply from a 3rd-party and they don't have to go through the time delay & expense of getting their low-voltage product approved by the safety agencies (not an issue for home-builders). And, they can update their designs, and use the existing power supply without going through an approval cycle.
I work for a small electronics manufacturer. Most of our products use wall-warts, but a couple have one big circuit board the AC power supply on it. I've been "zapped" a few times, because I have bad habits from working on low-voltage stuff all the time... But, I havent been killed yet! 