I overclock, and leave speedstep on. Its no problem. It takes 1 clock tick for the CPU to switch from multiplier 6 to full speed. I've never noticed any difference in performance with speedstep on or off.
The main reason for disabling speedstep when overclocking, is it reduces the volts to the cpu when it switches to the x6 multiplier. If you have a highly clocked and overvolted E6300 for example, it could be that when speedstep cuts the volts down, there could be instability due to lack of power.
At stock speeds, speedstep is nice, it saves power, and reduces the cpu's idle temperatures. When overclocked those benifits are still present, which is good, but does introduce a small possibility of instability when the cpu's lightly loaded.
If your overclocking, and getting crashes, then disable speedstep. But if all is working well (or disabling speedstep doesnt resolve crash issues in which case, reduce the overclock etc) then just leave it running.