this is true and i he was referring to 'compiling' your own kernel. i dont think it makes your computer 'heaps', especially if its a new computer.
google.com/linux, this site, or any other linux site im sure would have mention of doing this, and there are _many_ tutorials to do it.
i generally dont do this, simply because when i try i dont get it 100% right and it doesnt work. not that its exactly a very difficult process, but, whatever.
if your computer runs fine with current kernel i would keep it. if you want to 'experiment' and dig deeper into linux to learn a bit more then compiling a kernel would be a good experience.