Hi,
The overal generated heat will be the same.
You may use the diodes in series. You may use a suitable zener, but you may use a suitable (bigger) voltage regulator, maybe with heatsink.
The drawback with the series diodes is, that the range of input voltage is limited by the voltage drop.
In case the input voltage drops to 7V ... the diode solution will fail, the regulator_only solution will still work (depending on voltage drop and regulator type)
To reduce heat you may consider to use a switching buck regulator. This usually is my choice.
Klaus