What penalties are associated with my extension method at runtime?
Your extension method is transformed into a state-machine, so there’s the minimal overhead of that, but that shouldn’t be noticeable.
Is it’s a good practice to extend linq that way?
In your question you state:
While working with Linq extensions it’s normal to see code like this (insert enumerable null check here)
And I beg to differ. The common practice says don’t return null where an IEnumerable<T> is expected. Most cases should return an empty collection (or IEnumerable), leaving null to the exceptional, because null is not empty. This would make your method entirely redundant. Use Enumerable.Empty<T> where needed.