Zener-Resistor Combination at the Input of 7805
Why bother with a zener.... 

The zener itself consumes current so you are in fact increasing the power usage not reducing it. Further, the ZENER would need to be a high current device so that the series resistor does not have to be so high that it affects the regulator. That's even MORE power to dissipate and lose.

If you MUST take some of the load off the regulator, and your load is 150mA, just use a suitable rated resistor to drop the 12V down to just above the minimum voltage required by the regulator at that current. Perhaps a 1W 30R. Or use a high current zener in place of the resistor.

It won't make it more efficient, and you will still have to get rid of as much heat, but it won't be worse and heat-sinking may not be required.