I come from a DBA world and performance has always been an obsession. I am turning to development and I always think about performance, constantly, all the time.
Reading
The Knuth quote ("We should forget about small efficiencies, say about 97% of the time: premature optimization is the root of all evil") probably applies.
When you drive your car, do you constantly and consciously check how close your car is to the curb? If you have enough experience driving a car you learn to know where its edges are and roughly how to drive and park it without hitting something close by.
The analogous kind of intuition/experience for programming performance is important to gain through trial/error and questions, but you shouldn't have to spend your time constantly double-checking yourself.