To add to what other's have said, speedstep does indeed lower the clock speed of CPUs to decrease power, but honestly, it's not that big of a deal.
When a CPU is at zero load and doesn't have speedstep enabled (meaning it's locked at it's highest frequency all the time), the power consumption is still very very low, because there are less amps going thru the CPU when idling. Similar to how a vehicle uses less fuel to hit redline in neutral vs in gear.
According to benchmarks, really all your saving is around 10W of power when using speedstep. Now since speedstep works so well (doesn't hinder performance when you need it), there really isn't a need to turn it off, so I'd say leave it on anyways.