it seems to me that any delays would be negligible
Perhaps, it would depend on your traffic and any other latency problems you're having. I did a simple test that fetched 5 paragraphs of pre-generated Lorem Ipsum dummy text that was served from the same CF server. The result took between 15 to 47 milliseconds, which as I said, depends on you to decide if it is negligible. Personally I think it's a bit high but from a user perspective, it wouldn't be noticeable in my environment.
As far mitigation, if you're trying to re-use code I'd consider putting your authentication into a cfc. This is beneficial because you can use it in multiple local applications as well as a web service if needed (which is technically what you're trying to do by using cfhttp).
What is the problem with including the process in a cfinclude as you said you were doing before? testing proved including the same pre-generated Lorem Ipsum text took 0 MS every time.
<cfset start = getTickCount()>
<cfhttp url="http://myServer.com/test/lipsum.cfm" method="get" >
<cfset end = getTickCount()-start>
<cfoutput>it took #end# MS to get the Lipsum.</cfoutput><br />
<cfset start = getTickCount()>
<!-- <cfinclude template="lipsum.cfm"> -->
<cfset end = getTickCount()-start>
<cfoutput>it took #end# MS to include the Lipsum.</cfoutput>
it took 43 MS to get the Lipsum.
it took 0 MS to include the Lipsum.