In my case I have noticed that battery does run out faster when not using SetCPU. Currently I am using
nadlabak's interactive governor with SetCPU which is a lot more responsive compared to the "ondemand" governor. And I use 1000mhz at 62 vsel since Motonav crashes at lower vsels.
Also,
SetCPU is available for free at xda-developers.com. So you can download from there in case you can't buy it from the Market.