Voltage Regulator getting too hot
It sounds like a power-to-ground short circuit, either a fault in the Ultrasonic sensor or in the connection to the Arduino.

Check your connections, and if you have an Ohm-meter, check the resistance between the sensor's power and ground pins.

Current consumption is a function of the device being powered, not of the power-supply, unless the supply lacks the capacity to provide as much current as the device needs.

Note that 9v batteries (the small brick aka a "transistor battery") is not well suited to supplying much current and probably will not power your Mega, or not for long, anyway. They are much better suited for long-term powering of very low current devices, such as a smoke detector.