Someone has already written a decent JSPerf to test this out: http://jsperf.com/innerhtml-vs-createelement-test/16 (see also http://jsperf.com/innerhtml-vs-createelement-test/4 for a slightly deeper dive)
Based on the Browserscope results (and my own testing), it seems that document.createElement is faster in Webkit but slower in everything else (Gecko, Trident). So, a bit of a wash there unless you're targeting mobile.
That said, in my experience HTML (template) parsing isn't the main bottleneck to getting an app to that smooth 60fps feeling. Usually the big targets you want to focus on there are avoiding cascading reflows/repaints, using smoother animation technologies such as requestAnimationFrame or CSS transitions/animations, understanding how to trigger hardware acceleration and what its limits are, and keeping careful control of your CSS special effects (border radius, box-shadow, gradients, etc). I recommend checking out http://jankfree.com/ (especially the I/O talk) if you're interested.
(edit: I don't really like the original article's vitriol, but he's right about a couple things. Manipulating your nodes outside of the DOM is much faster, although you don't need to be inside a DocumentFragment to do this (don't get me wrong; DocFrags are pretty useful). Also, yes, please don't keep running those jQuery selectors over and over again. Store the jQ object that the selector returns to you and just reuse that)