I think its a little over-kill...

In the psd format is ALL the information required to change the image and keep all the layering, blending, etc.. This is not necessary when only viewing the image, such as in a game..

Simply rasterising (I think thats the right work :P) it to be 'pure pixels' (such as a targa or bitmap) is much more efficient. It may turn out that all the overhead will outweigh the benefits..

Thanks,
Adrian