I had written a thread on this before, but scrapped it, because I wasn't sure anymore if the amount of cycles actually made any difference, as long as you aren't lowering it so much the Lemmings don't walk as fast anymore, or make it so high the game starts to behave strangely. However, I want to make sure: what setting do you use?

Edit: After some more testing, it does look like it doesn't matter. I've got the cycles set to 3000, by the way.

It terms of single levels, I'm not sure it would make a difference because IGT. If you were playing more than one level, than yes, cycle speed will affect the loading times (specifically the pre- and after-game screens fade in quicker and fade out quicker).

However, that has a max speed as well. I set mine between 12000-15000. That pretty much maxes out the loading speed, but isn't too fast that it starts to glitch (the first thing that will mess up is the music).