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Unregulated PSU's usually give the rated voltage at the rated load i.e.
your illuminated probably draws an current around 500 mA.

It will use 500 mA, regardless of how much the PSU is able to give.

However, an unregulated PSU gives higher voltage than rated at no load,
so since your Radio Schack PSU can deliver 800 mA, it will give a higher voltage when you connect it to a 500mA load, maybe somewhere in the range of 9.5 to 12 volts, which will have an effect of the mechanism's lifetime (at least theoretically)

If your 'illuminated item' is valuable, i suggest you to get either an unregulated AC9V 500mA, or a regulated one, AC9V and at least 500 mA (higher is no problem)

I have an illuminated item that plays a tune and characters inside move around. The tiny bulbs are 4.5. It came with a power adapter AC 9V 500mA but somehow became lost over the years. I purchased a replacement adapter at Radio Shack, AC 9V 800mA and the item works fine. Will the difference in the mA affect the mechanisms over time? Any info anyone has will be appreciated. Thanks in advance.