They're only active when the display is active, and at that point, the tiny bit of processor power that's being used to drive the live wallpaper is insignificant compared to the power being used to drive the backlight at that time.
So while there is some amount of battery life that is eaten up by having a live wallpaper, it nowhere near destroys battery life.
And, it's always nice to have options... don't like it, turn it off.