C++ preprocessor #define is totally different.
Is the PHP define() any different than just creating a var?
define(\"SETTING
'define' operation itself is rather slow - confirmed by xdebug profiler.
Here is benchmarks from http://t3.dotgnu.info/blog/php/my-first-php-extension.html:
pure 'define'
380.785 fetches/sec
14.2647 mean msecs/first-response
constants defined with 'hidef' extension
930.783 fetches/sec
6.30279 mean msecs/first-response
broken link update
The blog post referenced above has left the internet. It can still be viewed here via Wayback Machine. Here is another similar article.
The libraries the author references can be found here (apc_define_constants) and here (hidef extension).