Hi Frikkie,
Currently we do not support objects to be NOT stored in the database, so complex data returned from a webservice is always stored in the database. Further I think in this kind of cases; first get it working, then deal with performance problems. In my experience performance problems often arise at other places then were you would initially expect them.
I'd like to chime in with Michel here :) We have a bunch of experience with webservices and importing (large) quantities of XML. If the mapping is designed intelligently, it's actually really, really fast. The mapper batches all of the creates and updates which results in a minimal amount of database hits.
The other problem with not storing things in the database is that some webservices return large amounts of data. Keeping all of this in memory can be very inefficient, because the JVM will have to garbage collect a lot, starting to thrash.
In other words, I wouldn't worry about performance until you actually run into performance issues. Even then, there are a bunch of optimizations that can be applied to make it faster.
Thank you. :)