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The GAP<->Sage interface is rather slow. LibGAP will make it much faster at one point, but is not finished yet. So as a general strategy, you should do as much as you can just in Sage or just in GAP.

GAP is very fast for group theoretic computations. But working with lists, iterators, and files will always be beaten by Sage/Cython simply because its compiled code. So, well, it depends on what exactly your problem is.