I've got my Pololu 5v stepdown completely encased in heat shrink past the connectors and it seems to have worked just fine. You bring up a great point about heat dissipation though and will keep an eye out. The stepdown is used to power (not trickle charge) a Mobius action cam.
you can heat shrink it,, in fact you should. I implant them things into foam wings with gorrilla glue and they work for hours on end in the worst heat ever.... never failed
Heatshrinking it will also help protect those soldered joints against vibration and bending - so make sure the heatshrink goes a little way up the wire, like on an ESC.