Onboard sound does use CPU. But nowadays the CPUs are so powerful that the amount of power the onboard sound uses is so insignificant you would probably not notice the drop in performance. Buying a seperate sound card will probably only give you an extra 5 or 6 frames a second. The only compelling reason to get a sound card is if you wish to enjoy you game in a format that your onboard solution cannot decode (e.g. Dolby Digital Live, EAX HD 5).
The main drawbacks to intergrated sound are not so much the resources it uses up but more like the features and quality. Onboard solutions are prone to clipping, popping, interferance from the motherboard and its components which is noticeable at higher volumes, and the positional audio is inferior to separate sound cards.