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.
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It usually comes down to the requirements. In some cases you have very strict non functional requirements for response times, etc. In those cases, you should be extra effort to tweak your code, procedures, etc.
But as a rule of thumb (IMHO), you should build your code based on best practices around reliability and maintenability and then have a specific round of tests around performance. This way, you will know that you will be tweaking only the bits of code that are actually impacting the performance.