2 Concurrent Database Connections Per User Versus ...

I'm a PHP developer at the company I work at and we're going through a major transition from Sybase to MySql Enterprise.

One of our requirements is to have an initial database connection to a server designated 'slave'. When our database abstraction layer encounters a command that is either an INSERT, UPDATE, DELETE or CALL to a stored procedure, we need to use a different server designated 'master'.

Now, my question is, what are the pros as cons as far as performance and overhead between closing connection from server A and opening a connection to server B OR just having 2 persistent connections to both servers at the same time and just switch between them accordingly?

Right now we're doing the former method and I'm a little worried about performance issues because this is a VERY HIGH VOLUME network of sites that use these servers.

Any insight would be appreciated!