I have now made the menu images on this site into a CSS sprite. Basically, instead of loading 6 different images totaling 10Kb it now only needs 1 image which is 7Kb! The difference in filesize isn't the big win here but the reduced number of requests is the big deal.
The number one tip from the Yahoo! Performance people is reducing the number of requests and this is what I've done.
To generate the sprite image I use the CSS Sprite Generator and then fiddled it a bit to make it work for this site. Thanks guys!
The major drawbacks of CSS Sprite images isn't really technical but it's just that it's an optimization hack. The next time I need to change any of the images I have to reapply the hack and there's a risk that by the time I need to get back into it I will have forgotten how to do it or where to go to do it. Anyway, I'm really pleased with the performance of this site now.