Smaller chains/sprockets are lighter, and unsprung rotating mass is important if you are on the track.
They also will have a shorter life.
Some guff from the EK site:
And a quick terminology definition:
As a general rule, replace sprockets and chains together. Worn chains eat sprockets because even the slightest wear increases the pitch by a ball-hair. This means that fewer 'teeth' are pulling on the chain, eventually, only one and then the teeth actually start 'deforming'. Putting a new chain on a worn sprocket or vice-versa will result in the new becoming old rapidly.
If you want to split said ball-hairs, it is actually feasible to replace the chain only and extend the sprocket life to two ore maybe even three chains worth, but the crux is to replace the chain often enough. This is hard to predict as a modern O, X, Y, Z, blah chain has a long life followed by sudden and rapid wear. My understanding is that when one of the pins wear enough to stress the O (or X whatever) ring, and it fails to keep the lubricant in and starts rapid wear. This causes local heating and local stress. One worn pin delays taking load from the next and loads it up. So once it starts, the lubrication fails like pulling a zipper open (minds out of the gutter now guys!) If this has happened, the sprockets are more than likely buggered.
Bottom line is to be sure you catch it early enough, you need to replace the chain well early enough, and the cost saving is a bit offset by ditching a chain that just might have still had a fair life left?