For the most part, no. In some cases, it could be slower, but usually it's not that bad of a hit when compared to XP (maybe around 5%). In most cases, it's the same as Vista and in some cases, is better than Vista (again, maybe around 5%).
Mind you, these are figures I've read in gaming magazines, etc. If the games are running fine in XP, then there really is no need to upgrade to Vista or Windows 7 unless you really want DirectX 11 support and access to all the great tweaks that Microsoft did to the Windows 7 UI. Oh, and of course, XP is on the way out, so that is another reason.