Everything Paul says is true and with regards to the SEO perspective faster is better. Speed is a ranking factor which Google looks at.

I've actually used "Redirection" on a few of my sites before and the speed difference between redirects using WordPress redirect VS Apache redirect is marginal but the resource usage difference is vast. It requires very little server resources to read the .htaccess file and redirect compared to running through the core of WordPress to generate the 301 then send it.

Point the plugin to the .htaccess file and use the Apache module instead and you'll get both the benefit of slightly improved redirect times with the added benefit of using less server resources to do it.