Sensors with external power supply

These are just fun projects so I doubt that thermal limits will make a problem considering the whole thing will not run more than a few hours without a break. Is there anything that I definitely must not do that would damage my board if I am using one of the 2 options you listed ? (For now I do not plan on using anything more than Arduino Uno + 8 RGB LEDs strip + a few modules (like 3-4) at once)