Htm/l documents can be just as dangerous as any exe file, if it has an iFrame tag, that can import and execute data we are seeing infected jpg files, etc. so the list could be long and not fol proof. I feel you are better off using the Sensitivity of Web Shield rather than any custom list.
I have the sensitivity set to High on Web Shield and I see no noticeable slowing and I'm on dial-up, If you have the sensitivity set to Normal that provides a compromise between performance and protection.
You don't tell us much about your system, CPU RAN, connection, etc. ?
What is your firewall does that also scan content ?
What other security based software do you have ?
e.g. Spybot S&D (TeaTimer), AdAware (AdWatch), SpySweeper, PrevX, WinPatrol, etc.