The only time master/slave is really an issue is when you're using two drives on the same IDE channel that need to copy to/from each other. For example, if you have a CDROM and CDRW drive on the same channel it will not perform as well when you're doing disc-to-disc copying, but when you copy to/from HDD from the CD drive(s), it will perform better. So you need to decide how to set things up for what you plan to do more of.
With two HDDs, the only thing that's going to happen is a possible performance hit when copying from one of your drives to the other. But no, it isn't going to go through the master to get to the slave. Performance will be the same if you're only using one drive at any given moment.