Games generally play and load faster as an .ISO burnt onto the memory stick. Some games even allow you to shorten load times by allocating part of your memory stick for use to speed up load times.
Personally, I'd recommend picking up a photofast CR-5400 or similar 2 MicroSD --> 1 Memory Stick Pro Duo because it reduces the price dramatically. If you have the money, you can even go 2x16GB sticks.
Also "Card Class" is the read/write speed ranking, class 6 for example, is better than class 2. However, when it comes to price, a class 2 card should be cheaper than a class 6 (scaling for memory stick capacity).