Tips for multiple voltage regulators?
If power requirements are low (tens of millamps) I tend to use linear regulators. It doesn't matter whether you go from 12V to 3.3V immediately, or via 5V, the efficiency is the same (and rather bad). Make sure, however, if you use a regulator to go from 5V to 3.3V to use an LDO; the voltage difference is too small for standard regulators.  

If you want to use SMPSs you'll have to look at the efficiency. This is in general lower for lower output voltages, and also if the Vin/Vout ratio gets higher. Let's say you go from 12V to 5V at 90%, from 12V to 3.3V at 80% and from 5V to 3.3V at 95%. So going from 12V to 3.3V in 1 step will be 80% efficient, if you do this in 2 steps (via 5V) your overall efficiency will be 90% * 95% = 85.5%. You'll have to make the calculation for your specific regulator.