There is more than one way to play midi files. I use the command line program 'timidity' which has quite a sophisticated software synthesizer and is supposed to be pretty CPU intensive as far as midi players go.
I just checked and CPU useage is 3%-4% on a 2.4GHz P4. If you are saturating the CPU there must be something wrong with your sound setup.
I've used kmid (not the same as kmidi, but it plays midi karaoke files) with ALSA, running timidity as a daemon to process the midi data. Kmid has a few problems. In particular it seems to interfere with KDE's artsd sound daemon in some strange ways.
Have a look around the KDE control center under sound, and maybe try killing or switching off artsd.
I don't really understand Linux sound too well, but usually get things to work by poking around enough.