Yes and no. You would be lowering the heat the regulator gives off, but now you’re adding heat being radiated out by the resistor(s) even less efficiently. A series resistor (depending on application, would be fairly high wattage) would be more efficient, but will still be getting hot. The packages for these resistors can dissipate that heat more easily, though (hint: they’re physically big), to the point of being able to used without a heatsink at all. They’re available fairly cheaply, but the down side is the extra space required and that you’re still wasting energy.
If heat is a concern and you can’t implement a lower voltage input to begin with (what is your use case?), you could try designing a circuit using a switching regulator. There are drop-in replacements for the LM7805. They are a fair bit more expensive, and can be RF-noisy, but as long as that’s not an issue or can be designed around, they may be an appropriate replacement as they are vastly more efficient, meaning they waste a lot less energy as heat.