Mahmood,
You did not tell us with the supply or source DC voltage level is for your device. Also you state that it is the WIFI module that gets hot when it consumes 2.64W (0.8A at 3.3V). If it is indeed the transmitter module that gets too hot then the solution space will have to include cooling ideas like moving some air or applying a heat sink.

If on the other hand if the problem is heat in your power supply system then this is where the attention needs to be directed. If by chance your power input source happened to be 13.2V and you had deployed a linear regulator then it is understandable that it would be getting rather hot. At this voltage level a linear regulator would be dropping about 9.9V and would be trying to dissipate about three times as much power as the transmitter module!! (Almost 8W).

It would seem that for this example that you would definitely want to look into using a switcher type power supply. With careful selection and design approach you should be able to attain a power conversion efficiency of 80% or better. Some simple math would show that thus would result in input power requirement as:

Efficiency = Output Power / Input Power
0.8 = 2.64W / Input Power
Input Power = 3.3W

Power in Switcher = 3.3W - 2.64W = 0.66W

As you can see this would be a whole lot better.

You said you looked at some switcher solutions and thought the transient response was not good. This may be the case for some designs but there are likely other approaches that could bring this into a workable scenario. With switchers you can trade off amount of ripple, number of phases you use, amount of post filtering and some other factors. You also have to look seriously at what the real transient requirements are for your project. You may be able to reduce the ripple and dynamic dips and rises on the voltage rail through the use of filters at the transmitter module. Series inductance in the supply to the module followed by appropriately selected low ESR capacitors can go a long way toward smoothing out the load seen at the switcher.

Generally you would use a linear regulator after a switcher if you need to have very quiet and noise free voltage rail. To me this would apply more to things like analog circuits and sensors. It should be possible to select and devise a switching power supply solution that can work with a microcontroller and a WIFI module. For low volume application you should certainly take a look at ready made voltage regulator modules. If you are faced with a cost sensitive higher volume application then you may be faced with the task of getting a switcher circuit designed into your product board.

If you do end up with a combination of a less than optimum switcher followed by a linear regulator the design goal is to try to run the linear with the smallest input to output voltage drop as possible. This reduces the amount of power consumed (ie. heat generated) and may even imply the use of an LDO regulator type.

Michael Karas