DC-DC converters and heat generation
At least it has thermal protection!

You should define "build my own." The DC-DC converter the guy uses in the article you posted says it is 96% efficient (I find that hard to believe, but eBay never lies!). You would be hard pressed to design anything that efficient while maintaining a budget. If you go the full DIY route, you can expect efficiencies of anywhere from 75-90%. Either way you're dissipating 85*0.25 = 20W worst case.

Lets say that the one you have now is pretty darn good and also is 96% efficient. It will dissipate ~3.4W. This power is dissipated throughout your board, in traces, in wires, in components, in everything, but most of it will come from your semiconductors (diodes, fets) and magnetics. I posted a snip from a random Vishay FET datasheet. A lot of components will have a thermal resistance from junction (the literal P-N junction of the die) to ambient air, or the case of the part. This is what determines how hot the parts get. You can dissipate 3.4W in something with 1 degC/W thermal resistance and have it get slightly warmer, or you could feed it through this FET and get a 90degree C rise!



Of course, this is for a FET with no heatsink that isn't attached to a board or anything. 

Thermal impedance works just like resistors. You can actually calculate temp rise at each junction like you would a voltage divider. 

What I'm trying to get at is a power supply will only get as hot as you allow it to. If you don't care about size you could take the one you have apart and slap on bigger heatsinks, or even a fan.