Using FPKs will make your mod launch considerably faster, as it's quicker to load a few big files to memory than it is to load thousands of small ones. They will not make your mod smaller, as Civ4 doesn't seem to cope with PakBuild's compression option.
Using FPKs is not slower or faster in-game than not using them. However, using FPKs does seem to restrict Civ4's ability to manage memory, making MAFs more likely on larger maps. So there is a significant trade-off.
My advice (and what I do for my mod), is to have 2 or 3 FPKs: one for Art/Terrain, one containing both Art/Shared and Art/Structures, and (maybe) one for Art/Units. Leave everything else unpacked. I've done a lot of experimenting and this gives me the best balance of launch time and memory usage. I say maybe for the Unit art, because it depends how much your mod has. For most, it'll be the single biggest contributor to slow launch times and MAFs alike. I pack it when I release a new version, but tell those that prefer playing on large maps or with 18+ civs to unpack it (and expect much slower launch time as a result).
For reference, my mod has ~230MB of unit art. It used to be nearly 700MB but I did a massive clean up of my units folder a while back – deleting unused textures and models, baking a lot of textures together (why use 5 textures when it could all fit on 1 or 2, grr), even deleting unused alpha channels (presence of an alpha channel doubles the size of a .dds file regardless of whether it's used). Took weeks, but worth the half a GB of memory saved.
Important: Never put leaderhead art into an FPK. Leader art is loading from disk on demand, not loaded into memory at game launch. But an FPK containing leader art does get loaded into memory, meaning that you reduce available memory (increasing the likelihood of MAFs) for no benefit whatsoever.