It's not heavy/expensive in itself. It's really only changing a pointer to point elsewhere.
The part where it can affect performance is that switching textures can be an expensive part of drawing. So, drawing multiple objects with different textures will be (slightly) slower than drawing multiple objects with the same texture.
If, though, theoretically, you had only that one sprite, changing the sprite's texture thousands of times per frame wouldn't be a issue. Only at draw time, does it need to load up the texture.
