Does Arduino use step down voltage regulators?
The Leonardo uses linear regulators fed off the Vin line. 


A low drop-out (LDO) linear regulator (NCP1117) for the 5 volt rail
An ultra-low drop-out (ULDO) linear regulator (LP2985) for the 3.3 Volt rail


Of these, the 3.3 Volt regulator's efficiency is less of a concern, given that it needs to supply very little current. The LP2985 regulator itself is rated for just 150 mA. 

Depending on the actual application, the overall current drawn may or may not make switching to a switching regulator for 5 Volts viable: For low current applications, the overall thermal dissipation of the rest of the board would be bigger than the dissipation (lost efficiency) at the regulator itself, so there is not much to be gained by buck regulation.

For higher current demands (say ~ 500 mA overall, picking a number for convenience):
Replacing the 5 Volt regulator with a well-filtered 5 Volt integrated buck regulator module (e.g. Murata OKI-78SR05) will improve efficiency at the cost of size. 

The 3.3 Volt ULDO's input should then taken from this 5 Volt rail instead of directly from Vin.