Fez Panda External Power Source
Summary:  Looks good.




Max7219 LED driver datasheet here  

L7805CV regulator data sheet here

Driver will sink 5 mA /segment minimum x 24 = 120 mA min so 160 mA sounds about right.

At 5V out regulator dissipation is about (9-5) x 0.16 = 0.64 W.
Thermal resistance is 100 C/W in D-Pak (~= 65C rise)
 down to 50 C/W in TO220 (~= 30C rise) so a smidgeon of heatsinking is in order for the D-Pak and you'd lightly burn yourself on an unheatsunk TO220.

Total driver dissipation including LEDS at 5V supply is 5 x 0.160 = 800 mW.
 LED disspation depends on colour.
 Red LEDs will take about 2V x 0.16 =~ 0.3 W off the driver
 and White LEDs will take say 3V x 0.16 =~ 0.5W
 leaving the driver dissipating 500 mW with red LEDs and 300 mW with white LEDs.

Regulator efficiency is 5V/9V = 55%.
 A switching regulator may give you say 85% here so regulator losses would go down from (9-5) x 0.16 = 640 mW to (15/85) x (5 x 0.16) =~ 140 mW - a reduction in regulator dissipation of 500 mW. This would keep the regulator happily cool without any heatsinking in most cases but is unlikely to be worthwhile except where energy budget matters. (If the regulator efficiency changes from 55% to 85% the losses drop from 640 mW to 140 mW so smps losses are only 140/640 =~ 22% of  linear regulator losses. 

You can get drop-in smps regulators to replace the 7805xx if energy budget matters eg  

Murata 78xxSR series  - claim about 90% efficient in this application.

CUI V78xx-2000 =- claimed over 90% efficient in this application 

CUI V78xx-500 Claimed around 95% efficient in this application. 

All available from Digikey.

So, yes, this sounds OK.