If a regular expression runs too often, even pre-compiled (as they should be), you'll want to replace them with code written in the native language. I've gone in and replaced a one line search/replace written in RegX (compiled), with just a C-style for() loop over the wchar array, and had the memory usage drop by near 80% and performance increase by over 60%.
So high performance is all relative. However RegX isn't something I'd describe that way, even compiled. It is a nice way to write complex string parsing code quickly however.
