well, I don't really quite understand Tiny very well, and I am satisfied with the inbound protection from XP, so I was thinking on having both so at least I can play with the outbound on Tiny. See? I am mental.
Yes, you will have a performance hit when you run another program on your computer. Unless you are about to run out of resources or room you will probably not be able to tell the performance difference between running one or two firewalls.