Event handlers are definitely the way to go everywhere you can use them, but common sense is naturally needed.
It depends on how you use (or more precisely, what you start from the event handlers) event handlers if they take too much processing power or not. Putting a fired event handler into many units and then starting a long-ish script from those event handlers, is well... plain stupidity. Imagine two 12-man groups firing automatic weapons simultaneously, and count how many instances of the script you will have started per minute in an intense firefight... So there you get strain on the CPU via an event handler but that is not the event handler's fault anymore, really.