DC-DC Buck Converter

Where in the world did you find a 36V battery?
Simply find a 5V Buck Converter rated for 6A at the bare minimum.
What are the loads? If it's a heavy inductive load, then you could fry if you don't have proper protection on the motors.

 

Arduino takes 2A ?!
You'll be fine. If you will be connecting it to a large motor for example, or large servo, make sure you use a diode to prevent the motor from feeding back into the circuit.

 

Don't know about burning up, but it might shut down due to an overcurrent.

To answer your question, when multiple loads are connected in parallel their load currents sum, or add up. So three 2-amp loads need a 6-amp source. Depending on the nature of the loads, they might draw 2 A continuously but draw more (or much more) at startup. Your DC/DC converter needs to be able to handle the transient startup current, not just the running current.

ak