Shaders definitely use additional memory. With clever scripting, you can avoid a lot of the frame rate loss and memory consumption. A couple points come to mind:

1) If you have multiple terrains, make sure they are sewn together. A crack in your terrains can cause framerate loss, as anything under the terrain (skybox or other) will have to be rendered as well.

2) Load only those terrains that are visible, using ent_create and ent_remove. You do not want to have 16 terrains placed in WED if the player can only see 4 of them at once.