They wont slow down the system. I tested my keylogger with a friend's system, that is a very basic p4, and the memory consumption is very less. A keylogger does not waste cpu time looking for keystrokes as you think. It is executed when you press a key only, it doesnt look for keystrokes all the time like an infinite loop.
edit: i dont want a bad impression, this guy is my partner in crime

, so he knew what we are doing