The best answer would be to try it by yourself. Theoretically, it should be faster than CPU/GPU though. Personally I think OCL is fast enough to create an address/key pair. On top of that, we can use split key too. Loyce has a nice tutorial about this.
Why does it has to be split key? I see many ppl rent AWS to run vanitygen for normal key pair but never seen any private key get leak, are there really any incident that VM service stalk on ppl activity to steal key?
If you generate your own private key it makes no difference as long as you're sure no one else has access to it.
Split key generation is used when someone has the processing power, and wants to generate a vanity address for someone else. None of them know the private key unless they have both split solutions to it.
There's a more simple explanation. Say you generate a key and the private key in base6 looks like
111112222233333444445555500000111112222233333444445555500000111112222233333444440000011111222223333
That's your half private key (it would be in WIF format most likely). Now someone goes and generates a private key with your partial public key. The private key returned is
123451234512345123451234512345123451234512345123451234512345123451234512345123451234512345123451234
You add their private key with your private key and boom. You'll see your vanity address that they generated for you. I'm just on a mobile device at the moment so can't calculate the public key or what these two numbers added together would be, but hopefully that's a half decent explaination.
