I’ve also used a lot of those VReg modules - both with LM2596 or XL6009 (both versions look pretty much the same)
I’ve never had a heat problem, but always use them conservatively - if they are rated 3A, I feel they should last fine when used to supply 1A.
Having said that, TI show the LM2596 is capable of supplying 7.5A on a well designed PCB with adequate cooling (ref. Fig.13).
One other thing to consider when down-rating is that a $1 module from ebay probably doesn’t have a genuine TI chip, so the datasheet is a guide only.
Recently, when space hasn’t been an issue, I’ve been using the ‘display type’ module because the volt/amp meter allows basic diagnostics without having to pull out a multimeter.
Edit:
I decided this discussion deserves a thread of it’s own, so I ran some tests and here are the results.