After a bit of a rough initial install, the plug-in works great. I needed to update the version of PHP I was running on my server to the very latest before a bad initialization call error could be cleared up. Now with that behind me, this is an awesome plugin. I haven't notice any degradation in response the response time for my site (I get several hundred visitors a day that pull many, many pages) so for now I'm impressed.
UPDATE: I've been running WordFence for about a while now and finally decided to upgrade to a paid API key. The free one was worked fine, but, I've come to trust the application and this vendor and have decided to try to paid version. So far so good in upgrading from free to paid API.