Basically, what the title says. will it slow down my connection much? does it actually help protect your privacy?

It will be slower for some sites and faster for others. No way to tell unless you try it out.

As for privacy.. The main questions is always what are you trying to hide.

And would you prefer all your web activities to go through a single machine with god knows who watching and logging but the webservers will not know where you really are or that all your connections go through to the servers directly so your IP address is revealed to them, but nothing else?