I just took some time to perform some simple tests in SolidWorks 2005. I created a rectangular block with four filleted edges so that I could create it using sketch fillets in the extrude sketch or by adding fillets as a separate feature. Here are the results as determined with Feature Statistics:
Extrude the block and add fillets as a separate feature - 0.06 seconds
Extrude a filleted block with sketch fillets in the sketch - 0.03 seconds
Apparently, using a more complex sketch is more efficient (by a factor of 2) than having a separate feature for adding fillets in this situation.
I also created a cylindrical part with fillets on the ends by rotating a rectangular sketch and adding the fillets as a second feature. Additionally, I created the same part using a single revolve feature that incorporated the fillets in the sketch. Here are the results from Feature Statistics:
Revolve a rectangular sketch and add fillets as a separate feature - 0.01 seconds
Revolve a filleted rectangular sketch - 0.03 seconds
In this case, the more complex sketch requiring a single feature has a much longer rebuild time.
Although all of these times are very short and the difference would be undetectable when hitting rebuild, such a difference is quite informative and may prove to be very important when working on more complex parts. Unfortunately, the cause of the differenes between these cases is unclear and additional testing/research would be required to determine the most efficient approach to modeling various parts.
If I have some more spare time, I will do some more experiments in the future and report back to the group.