If your processor supports any of these features that throttle your CPU when idling you best leave it on. I'm sure Intel has more expertise on the performance of CPU than most of us.
My advice: leave it on and no, you don't have to reboot to increase your clock speed
And after looking into a Wikipedia article on Speedstep, it turns out Windows XP has excellent support for Speedstep or similar features:
Under Microsoft Windows XP, SpeedStep
support is built into the power
management console under the control
panel. In Windows XP a user can
regulate the processor's speed
indirectly by changing power schemes.
The "Home/Office Desk" disables SpeedStep, the "Portable/Laptop" power
scheme enables SpeedStep, and the "Max
Battery" uses SpeedStep to slow the
processor to minimal power levels as
the battery weakens.
The SpeedStep settings for power
schemes, either built-in or custom,
cannot be modified from the control
panel's GUI, but can be modified using
the POWERCFG.EXE command-line utility.