Yes, it's faster than USB. Not sure if it's faster than Firewire though (I've seen conflicting reports). Personally, I've found it more convenient to have an adapter rather than an external reader.
I don't think you can leave it permanently inserted though, as you'd have a difficult time removing the SD or CF card from the adapter once it's in the PCMCIA card slot.
I haven't tried the MacAlly version, but I've got a Sandisk that works pretty well for SD cards, and a Sandisk and Lexar adapters for CF cards that work well too.