Can I use a transformer to drop down the voltage from a generator? Or should I just use a regulator? The generator outputs about 9.3 V and I need about 5 V, and I want to conserve power.
Use a voltage regulator.
A switching voltage regulator will be the most efficient. Texas Instruments has a decent selection, just input the parameters you need.
A linear regulator would work too, but will not be as efficient as a buck topology.
A transformer will not work at all. Transformers are for alternating currents, not direct currents (AC vs. DC).