How much do foreign keys affect performance?
The link provided in bummi's comment has useful information.  Depending on what you're doing, FKs can improve performance because SQL Server's query processor can rely on there being matching data in a table.

In what context are you asking your question?  Do you have a performance problem already, or are you being cautious?

It's better to add in the FKs and then disable them later (don't remove them, just disable) then to never have them at all.