OK, so the title of this post is a bit misleading, since the chipKIT Max32 already includes a fairly sophisticated power supply. It has both 3.3V and 5V regulators on board, auto-switches away from USB power when an external supply is connected, and can be jumpered for an external regulated supply. Turns out there is one use case that is not handled automatically: When an external regulated 5V supply and a USB cable are connected at the same time, the auto-switch is inhibited.
EE Times editor Max Maxfield explores a scenario in which multiple boards (an Arduino Mega, chipKIT Max32, and a bunch of NeoPixel strips) are connected together and driven from a single, 5V regulated supply. For all the details, please see the article on EE Times where on the second page of the article you will find the instructions for how to modify the chipKIT Max32 board. Incidentally, the mod for chipKIT Max32 is much simpler than for Arduino Mega. Fun!