Where you place the CDRW is pretty much irrelevant these days, what with massive buffers and all. On top of that, any decent drive will have buffer underrun protection so should the buffer run out the write will be 'paused' until its full again.
I agree with mong about putting on secondary master - you should get better performance like that, especially when accessing both HDs at once. However, this is often impossible due to cable length restrictions and stuff.
For example, I have 4 IDE devices, and both my HDs are on the primary channel because there's no way in hell my cables will stretch up to the CDRW or DVD then back down to a harddrive.
Oh well.