A script would, of course, take some CPU power to start up. However, if you are only executing a script every few seconds or so, then I think it would be entirely negligable. If you have a script executing every 0.01 seconds or so, then you may be better off having that script just stay running...
But I'm with Sui; better to have one single, large loop than many smaller ones. For one thing, it makes things simpler to keep track of on your end (and update, debug, etc). For another thing, if you have lots of local variables in lots of different scripts, then you can run into the savegame bug. I believe Thobson or someone ran into the savegame problem, and was able to fix it by combining all his little loops into one big loop (that and combine his global vars into a few global arrays).
Of course, it takes quite a bit of variables to run into that bug, but since you seem to be nitpicking about performance, I assume you are having lots of scripts.