It's still a good idea. In particular, most software firewalls also monitor outgoing data on a PER PROGRAM basis. You can control excactly which programs have access and prevent anything being sent, even if it's a common port like 80.
Basically, unless you have a VERY fast connection, and a VERY slow computer, the speed loss shouldn't be a big deal, if it's even detectable. You could always help things a bit by setting the software firewall to allow all incoming, if you believe the hardware firewall will fully protect you.
Just remember that just blocking data ports alone doesn't cut it these days. With spyware, adware, trojans, etc.. you need help on actual program control.