It depends on the script. A Big script could cause problems if your map doesn't have anywhere to go fishing in, and a script that runs a lot of code every tic (or manages a fuckton of data) could get really laggy, particularly if you combine them with a huge map, but the size of the script itself doesn't affect much after the initial parse and load.
Generally, the key to avoiding laggy scripts is to avoid running anything that doesn't have an immediate use, and create caches for data that needs parsed often from static information. Try not to overuse expensive functions like P_TryMove and thinkers.iterate, as well. If you have a crusty old computer around, fire it up and use it for performance testing; ideally your framerate in something like THZ1 with your scripts loaded should be about as good as your framerate in CEZ2 without them, but the hard line of acceptable performance is really up to you.