I don't notice any slowdown using Ess 4 Firewall. But on the other hand there is plenty things that I do not notice
I just went over from Outpost to Online Armor. To my surprise the speed increased. Didn't expect that.
Never had any slowdowns with any firewall I've tried in the last two-three years (KIS, NIS, Online Armor, Comodo and F-Secure).