Only time you need to worry about it is if you want to overclock the processor. Other than that, it's actually a good feature.
Not even then. The usual practice is to turn off SpeedStep (that's what it's called) before starting overclocking.
I turn it on when I am finished overclocking. I have a Q6600 running at 3.6 GHz (400 MHz X 9). So it loafs along at 2.4 GHz.