No,,, not all gadgets save settings. The only one that I have found so far is the very awesome App Launcher gadget.
It doesn't save position on screen, but you don't have to re-add and organize your icons every time you close it.
While gadgets do use up resources, and can be good to close if needed for gaming..this would be about the only thing I would consider as a resource hog for gaming, and that depends on the gadget itself. Not all are bad with resources, infact I don't turn any of mine off when gaming, (my bottle neck is the video card) and tweaking Win7 will not produce enough advantage to be worth the effort. Win7 is much better at memory management. Some people just can't put aside the notion that there is no need for hardware or system type profiles for disabling services etc. That used to be true (once upon a time), but is a myth (in my opinion) now.
While there may be some seeming advantages to disabling some services. Places like Black Viper offer up the extreme,,, which in 99.9% of the time, is unnecessary tweaking on 7. However, XP is a different story.
I do not believe that it has been proven one way or the other that disabling a bunch of things improves enough to truly be worth the effort.
Honestly, I haven't done any of those things I don't notice any problems, slow downs, etc. I just need a new video card