The speed problem is a known issue. We are looking to have VA disable its self when you start recording a quick macro:
case=724
Having VA active while recording keyboard macros is likely to cause problems, since VA's features are going to get in the way. This may interest you, one user reported binding a keyboard shortcut to this IDE macro as a temporary workaround:
' Wrapper to record a temporary macro. Disables VAX prior to recording as it
' seems to slow down recording substantially.
Sub RecordMacro()
DTE.ExecuteCommand("VAssistX.EnableDisable")
DTE.ExecuteCommand("Tools.RecordTemporaryMacro")
End Sub