There's speed improvement using a different and dedictated partition for the page file for Windows, yes, since it means the page file shouldn't fragment so access in it stays faster than if it did fragment. Don't bother making it bigger than 4 GB though, Windows can only use 4 GB virtual memory maximum (page plus RAM) on 32-bit machines as far as I know. I'm not so sure about if using a seperate physical drive also necessarily yields better speed though, especially with similar physical drives. Maybe if they were on seperate drive controllers and on their own, but I doubt it if they shared a cable. I'd personally stick all partitions an OS would need to boot and function on the same disk anyway, as it allows me to move physical disks between machines much more easily.
As for best setup, it really depends on what you're going to use each OS for, and so what partitions you want to give each one and their sizes. For Windows, I'd want at least 3 partitions - one for the OS and installed programs (these can be split into 2 partitions if you want though, like I tend to do), one for the page file, and at least one for different types of user data you don't want to lose if you need to reinstall Windows, which is a common thing to do

For linux, I'd probably say 3 partitions - an ext2 boot, a swap, and an ext3 partition for everything else - though Unne would know better than me and might say more to split the programs and user data. In your case, you might want yet another partition to allow sharing data between the two OSs, though this might easily double as Windows' user data partition if you use FAT32 for it.