mssql_* overhead

Hi. Does anyone know if the mssql_connect/_init/_bind/etc require a lot of overhead? I have a page that requires multiple function calls and each of those opens a new connection to the database, performs the necessary actions in stored procedure(s), and then closes the connection. However, I found this to be slower than I was wanting. So I thought, just create one connection and assign it to the SESSION (a global), and in each function that requires a connection, call that SESSION variable. At the end of the page, close the connection and nullify the variable. Does anyone see a problem with doing it this way? Security concerns? Anything? Thanks in advance, ~Philip