I don't recommend putting your tracking code in the skin. Doing so gives you these problems:
1) if you want to change any settings, you have to modify and re-upload your skin It also means your skin can't be re-used anywhere else.
2) you will track every pageview for your site, including admin pages, host pages, page edits, file uploads : the lot. On a lower-traffic site, this can easily distort the overall figures by introducing outliers in terms of usage
A module-based solution will be superior because:
1) you can quickly install it on any site without having to change the skin
2) most have a range of settings you can change
3) it won't track 'edit' pages and uploads
I distribute a free, no registration module at http://www.ifinity.com.au/Products/Google_Analytics_Script_Module
With this module, you get the above benefits, plus :
- you can restrict view tracking for a particular security group, ie admins
- you can associate registered users with a different analytics segment, so you can, say, filter on subscribers to see the data differently.
- you can track clicks to external websites, giving you the ability to see where people are leaving your site wihtout using horrid linkclick solutions (of which there is no reporting anyway)
The module takes about 1 minute to install and configure. Many of the other free Analytics modules will give you similar features for the same price.
The difference in performance for loading an extra module on the page would be so small as impossible to detect. You would get a larger variance in page performance from the network speed than from module/no module.