It depends on the theme really. Personally I don't really use them any more, I'm always on Windows Classic -- but when I used themes, issues with various GUI applications was the big thing. Certain themes would alter the orientation of buttons and sometimes cut content off. Again, it depends on the theme, a lot will not do this.
As for performance, it once again depends on the theme and your system. You won't really notice a hiccup on a more recent system, but you may on an older system (still unlikely). It also depends on what eye candy the theme brings to the table.
Bottom line: If you really want a theme, go for it. The performance difference probably won't be noticeable if any, and most themes play well with the UI. If worse comes to worse, you can remove it easily.