Proper use of a voltage regulator
The regulator will work perfectly if you keep within the datasheet specs. If you supply it with less than 7V it will lose regulation.  

Things to be aware of are that if you supply power with a 9V battery and try and draw too much current, the battery voltage will eventually sag below the 7V required (this is likely what was happening to the first commentor)   

Also, the higher your input voltage, the more power is dissipated in the regulator so you may need a heatsink. There are many answers on here that go through all this. To tell you whether you would need one we would need to know how much current you are planning on drawing from it at what input voltage.
If it's 9V, then assuming a maximum ambient temperature of 50&deg;C, a maximum operating temp of 125&deg;C:

(125 - 50) / 19 = 3.95W maximum.
at 9V:
3.95W / (9V - 5V) = ~1A maximum 

If it's just the microcontroller you are powering though, then it's almost certainly no problem. As we can see over an amp would be needed to needed to reach maximum operating temperature (even if reached, it's unlikely to break - it will just shut down) Your kit will probably only draw a few milliamps, maybe up to 100mA with all pins driving heavyish loads.