Yes, it can be faster but not when compared with storing the jQuery object in a variable, which is just as fast.
e.g. this:
var elements = $('.myClass').find('p');
elements.next()
should be just as fast as this:
$('.myClass').find('p').next()
Most of the time it comes down to readability...sometimes method chaining makes code more readable, but if you get carried away, it can make it less readable.
