So should I always aim to set eta as low as possible for time/processor constraints?
James Chuter

The lower it gets the smaller the steps done at each boosting iteration.

It can get absurdly slow and you might get diminishing returns quickly when using a small eta. Ideally the eta should be small enough but not too small, in order to allow an acceptable convergence speed while maintaining a good enough performance.

Note that sometimes a too small learning rate prevents learning properly.

Cross-validation can help finding an estimation of the appropriate number of rounds automatically.