Yes, your XP settings will still be dominant. The things that keep your system cooler compared to slax are the NT kernel, power management, etc... in Windows, and Virtualbox won't change that
That's the cool thing, and the whole point, of virtualization - it doesn't mess with the host system. Everything will be as it is now, *except* for a degradation of performance to some degree, the severity of which depending on your system. Mine, for instance, a Core2Duo with oodles of RAM, I don't notice any negative effect of running Linux in Virtualbox under Windows unless I play a really graphically intense game. But I can give Virtualbox 1Gig and not notice - I'm sure less powerful systems will notice more impact as you head downward, but I don't think it's anything unmanageable, as long as you don't game with Virtualbox running
As to slax itself heating up your HD, in that area you're probably better off with a Debian-based distro whenever you decide to run it fully, on it's own, again. In particular, I'd recommend a kernel version (assuming 32 bit) of at least 2.6.22 to get dynticks (2.6.23 is even better, as .22 is rather buggy, and I don't for the life of me understand why distros still use it...), and the KDE environment. KDE makes laptop powermanagement very easy, just make sure laptop-mode is installed, cpufreqd or a similar tool is installed, and install Kpowersave and make sure it runs at every startup. In Kpowersave, go to the lowest performance/power trade-off that you can find acceptable.
Edit to add: Of course, virtualizing in any environment, and Windows in particular, is going to naturally send your CPU cycles up, spin your hard drive more often, etc... So I rather doubt you save anything by virtualizing Linux in that regard, unfortunately. While yes, your Windows variables will still be dominant, running any CPU/RAM/HD intensive app (Virtualization included) is going to be a natural powerdrain, thereby minimizing (if not completely eliminating) any intended effect. ie; you'll notice your fans kick on whenever Vbox is running, your CPU will generate alot of heat unless it's a C2D, etc... IMO, I would think you'd be better off, powerwise, by using a Debian KDE distro, such as MintKDE, and booting into it naturally, and following some of my guidelines above