Is it more memory/processor-efficient to open many windows in one desktop, or to make all these windows fullscreen?
To expand on patrix's point in comments above, essentially OS X keeps track of every open window regardless of where it is, because there is a process(es) running each window. It also manages RAM usage, taking from the poor (less recently used open programs) and giving to the rich (program currently being used). Even if a program has an open window on the same virtual desktop, if needed, OS X will cull RAM from that program to feed the currently active program.

It's theoretically possible you would incur a graphics performance penalty for having everything on one desktop, especially if you have transparency enabled, but otherwise, there aren't really any system implications. So, basically, do whatever works best for your workflow.