DPA Performance: SetKey

Is the cost of a SetKey in a report fixed, or does it incur a cost per each record that flows through it?

I'm trying to make some fields "not key" so I can run the records into a join and have my not-matched records discarded. However, I'm running very large numbers of records, and my reports now seem much slower than the versions that used merge, without using SetKey stages. If SetKey slows each record down, that would make sad sense. If SetKey is more like a compile-time option that has a fixed cost, whether it's a few records or a few million records, I'll need to get over my preference for join over merge.

Thanks,

Nick