Good question, one worth concentrating on:
The relay when on takes: I = 12/300R (coil) = 40mA
The are 4 LEDs (just say that they are all on for the sake of argument) @ 10mA each = 40mA
so @12V = P=80mA x 12V = 1W
The regulator is dropping lets say from 20V at rectified Transformer output to 12V, i.e. 8V, so the reg dissipates 8 x 80ma = 0.6W
So total + transformer losses, say about 2 watts. Not an insignificant amount but by no means anything to worry about, that size of box (enclosed with no cooling), lets guess at 10C above ambient.
Andy
BTW, I fitted all the bits in the box, with loads of clearance around mains bits and mega clearance areas for mains tracking. The routing looks at first glance to be a synch too and this is going just single sided and hopefully NO wire links (the holy grail of PCB routing in other words).