Cautery Pen.. plug in?
For the most compact solution you could just put a barrel jack in the end of the pen and plug in a 3V power supply with no additional regulator.

If you don't need the ability to adjust, you are probably better off using a regulator that provides 3V so you don't have to step the voltage down further.

If you want the ability to adjust then you would want a higher voltage supply, perhaps 12V, with a step-down regulator like this one.

A pot in series with the power would work assuming it is rated for the power, but because of the current level you are dealing with is not a good solution.  The pot would be very large and it is very inefficient.

WARNING: You can't use a cautery pen on people with this modification.  You would need a supply with proper isolation and medical certification.  I'm assuming you are doing this for some other purpose.