It's a matter of personal preference. It shouldn't affect gaming.
My work computer is a single core 3 Ghz with 2 Mb ram, so I have all the settings at max performance. My computers at home have more CPU power and RAM so I leave the setting at default. With a slower computer it can make a fair difference.
As Russel said, it can make a difference. It takes a little tax off the RAM, I've found. Whether or not that will help in gaming, it would be a modest improvement at most. If you are trying to change performance settings for XP to try and run a game better, than you are doing it for the wrong reasons (i.e. the game wouldn't run that well in the first place).