Hi. I would not worry about heat that much. We're talking 30 mA max. Even if you used a single linear regulator 20V->5V it would dissipate 0.03*15V=0.45 W max.
Having multiple regulators spreads the dissipation, so individual devices run even cooler.
However, I would encourage you to use a MC34063 or equivalent switching regulator. It is much easier to use than you might think. Especially using an online calculator.
Search the net for 34063 online calculator. One result:
http://www.nomad.ee/micros/mc34063a/Using this part in step-up mode you can easily convert 5 -> 12/14V as done in several programmers I've seen.
Isn't that a nice little project for a beginner?
You might be interested in using the ATMEGA32u4 (or Arduino Micro) to build a USB-powered programmer.
Have fun!