It's actually unclear whether it's less efficient or not. Sean Wrona, one of the fastest typists in various competitions, generally uses it in place of shift.
He posts about it here: http://forum.colemak.com/viewtopic.php?pid=8851#p8851
He posts about it here: http://forum.colemak.com/viewtopic.php?pid=8851#p8851
I use StickyKeys which lets me hit Shift and then a letter, which I think is even faster since you don't have to "un-shift" like you would with CapsLock.