Why are you disabling ZoneAlarm for gaming? Are you gaming multiplayer? If not, just rightclick on the ZoneLabs ICON in the tool-tray and choose "Block all internet activity" or equiv.
If you're playing on a LAN, go into ZoneLabs and put Internet security to High.
Far as CPU utilatge...I'm willing to bet it's Minimal.....do a benchmark three times with ZoneLabs enabled, and three times with it disabled.....bet you won't find a difference.
My Two Pesos....