This is covered in the manual in the section under Migration.
Like thorpe said, the argument about which is faster is pretty specious. If there is a speed difference it's sure to be swamped by other far more significant factors, like the time spent writing and testing.
If you do want to use OO, I'd recommend using PHP 5; its implementation works much more like you'd expect it to (objects are passed by reference instead of value, for example) when compared with how PHP 4 handles it.