The Celeron 533 would be much faster; about 2X faster (and I dont just mean clock speed.)
The Pentium II's and original Pentium 3's used 512K of Level-2 cache memory running at half the processor speed; all new Celerons, Durons, Pentium 3's and Athlons use full-speed cache memory.
So your Pentium II 333 has 512K of L2 cache that runs at 166MHz, the Celeron 533 has 128K of Level2 cache which runs at the full 533 MHz (which is faster than 512k of 166mhz memory).
It's definately worth the price to upgrade to a Celeron 533/566/600 for you.
All you need is a Slotket adapter with voltage adjustments on it and the Celeron CPU.
You need the slotket because your Motherboard (all the motherboards for Pentium II's) use the Slot-1 interface to connect the cpu (it's like a long PCI slot really, but on the other side of the motherboard; with the CPU and big fan on it). All new Celerons and Pentium III's are Socket370, a smaller square socket that is present on the motherboard. The slotket adapter is an adapter for Slot-1 motherboards to accept Socket 370 CPUs and it's quite cheap: around $10-15.
I hope this helps!