does setting up proper relationships in a database help with anything else other than data integrity?
do they improve or hinder performance?
Relationships in the data exist whether you declare them or not. Declaring and enforcing the relationships via FK constraints will prevent certain kinds of errors in the data, at a small cost of checking data when inserts/updates/deletes occur.
Declaring cascading deletes via relationships helps prevent certain kinds of errors when deleting data.
Knowing the relationships helps to make flexible and correct use of the data when forming queries.
Designing the tables well can make the relationships more obvious and more useful. Using relationships in the data is the primary power behind using relational databases in the first place.