Ok, your mileage will vary...
with the procedure built into the calling program: .7661 seconds
with the procedure external to calling program: 6.0516
with the procedure external + set procedure to: .7994
above + comment out the procedure myproc line: .8080
procedure built into main + set proc to main: .8122

The test was very similar to the way my program works, ie, the main program was a loop (for x = 1 to 100000) with do mytest in the loop.
Procedure mytest just did a dummy variable assignment and then returned to the calling program.

>>I hedged my bets, I'm doing both. :-) I set procedure to main.prg in the startup routine :-)
>
>Well, let me know which is faster, if you would. I'm all of us could benefit from this knowledge.