If you're going to notice a speed boost of that level, then you're being very particular to your speed timings. The main difference between .msg and msg (or /msg) is the fact that the message doesn't have to be displayed on your own client.

The timing difference, if I recall correctly, is aproximately 1 millisecond for each 100 characters. This timing was done a while back when I was wondering the same thing. Computer speeds have increased in the mean time, so the actual difference with a current system (I suspect) would be even smaller.

When I tested those timings, I was running a PIII 600 with 128M RAM. You can do a quick estimate by comparing your system with that configuration to see what the time difference on your system would probably be.