if I power the Arduino and Wave Shield through the VIN pin
Not the VIN pin, the 5v
Also, doesn't the Arduino use more than 5v to operate? The power supply I currently use outputs 9v.
No. The on-board regulator I mentioned in my initial response regulates the 9v down to 5v to operate the Arduino. The processor and all Arduino circuitry operate on 5v.
The on-board voltage regulator is not capable of providing enough current for both the Arduino and the amplifier. But, if you have a regulated
5v supply such as the one I linked, you can bypass the on-board regulator and supply the 5v directly.