As for worrying about "all-ways on" power consumption of a wall-wart, here is the test I would do. Load the wall-wart with a dummy resistor load so that the resistor current is comparable to what your eventual circuit will draw (few mA). Plug in the wall-wart and leave it plugged in for 24hours. Come back and feel the wall-wart. If it is stinking hot, don't use it. If it is barely warm, then it is good to go because it's power consumption is a Watt or less.
Where I live, electric power costs about $0.09/kWh, so in one year, my wall-wart would cost (1*365*24/1000)*0.09 = $0.70 to operate....
Also, look for no-longer needed cell phone chargers. They are typically rated 5V @ 300mA. They usually produce no detectable heat if left plugged in...