Actually it depends:
sage: def build():
....: v = vector(ZZ, 1000)
....: for i in range(1000):
....: v[i] = Integer(i)
....: return v
....:
....:
sage: def build2():
....: l = list()
....: for i in range(1000):
....: l.append(Integer(i))
....: return vector(ZZ, l)
....:
....:
sage: timeit('build()')
625 loops, best of 3: 647 μs per loop
sage: timeit('build2()')
625 loops, best of 3: 926 μs per loop
sage: timeit('build()')
625 loops, best of 3: 653 μs per loop
sage: timeit('build2()')
625 loops, best of 3: 922 μs per loop
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