Definitely causes lag. I have 2 iPhones and I can test one with WinterBoard and one without side by side and the one with WinterBoard takes 1-2 seconds longer to launch apps.
While I do have it installed right this minute, I'm about 3 or 4 files away from themeing my phone completely without it. Then I'll uninstall it and have no concerns at all about whether or not it does cause any lag.
I have it but only to use Homescreen 2.0 and to change the icons of two apps (I know how to do it manually, I just don't want to do it every time they release an update).
I would call it a lag, b/c it LAGS! I don't mind it though, and it does seems pretty consistent with certain full theme apps and I've noted which ones they were and removed them from my collection...