The base voodoo kernel will not affect your cpu speed. If you downloaded one of the overclocked kernels then you will need setcpu to adjust the clock speed. The kernels default to 800mhz so you can test stability with the overclocked speed, at least thats my understanding. Also since "Set on Boot" does not seem to work that well with galaxy s phones at the moment, you will have to change the speed every time you restart your phone.
I tired Dirk's lv 1200mhz kernel and things would run great for a while, then I'd start getting soft resets. The phone was never hot or anything like that, but it didn't have the stability I was hoping for. I tired the lv 1100 kernel and thats been running great. I'm not sure how much of an improvement there is outside of quadrant and linpack scores, but it does run very smooth.
One of the benefits of setcpu is that you can underclock your cpu to 800, or even 400 mhz and get much better battery life. I'll do this if I'm running navigation on a trip, or I'm not using processor heavy apps. It might not be quite as crisp, but the battery life improvements are significant. Also setcpu has a handy widget, that makes it easy to jump into the app, change your clock speed and get back to what you were doing.