Vigilant is correct, at least in terms of Windows XP. Windows XP has relatively poor memory management. It will leave a bunch of empty memory and use the pagefile when it isn't really necessary. Windows Vista and 7 are far better in that respect. Vista/7 actually have a very smart system for caching stuff in memory. Disabling the pagefile is an archaic concept that only ever applied to older operating systems, and even then it had some drawbacks. (Certain apps would crash and burn.) Anyone still recommending it for Vista and 7 are just holding on to an old habit.
But the best thing is to simply try it for yourself. It's not like it's going to hurt anything to turn it off, then back on if you don't see any benefit.
Vigilant uses XP 
However still, why would caching stuff in the page file ever be more useful even with smarter management? Even with a solid state drive you're not going to get anywhere near the access speeds being as fast as RAM. Virtual memory does seem like a great hardware solution for making more efficient use of resources... but I can't see how it improves performance, it looks like it just reduces the impact of having an insufficient amount of memory in your machine. I guess i could see it maybe extending RAM life, but that's about it.
Because pagefile is used for two primary reasons, assuming optimal use. The first is to cache an 'original' copy while a loaded copy is altered in memory. This mirroring lets it re-load the original if need be.
The second is that not all data in-use is used constantly. DF is an example of something that must never, ever be paged off. Whereas something like, say, my print spooler service? I print once a year, maybe. So paging that (rather large) mass of DLLs off to pagefile, where it will be accessible but not really accessed, is far more memory efficient. It also reduces power consumption (less cells needing the approx. 2us refresh signal in RAM), reducing RAM competition (less crap to check on, which is a wasted cycle if it's not being read/written), less RAM fragmentation (a small gain at best, but..), and more RAM free for tasks that really need it.
Realistically, pagefiles tend to accumulate a lot of unnecessary crap that programs don't need at all, but would otherwise go to RAM. Photoshop is an incredible masterpiece of unmentionable clutter for this reason.
Just open Task Manager and enable the 'Virtual Memory' column and see how much each program has allocated. Notice that many of those allocations are unnecessarily large and not even in use. With Pagefile turned off, this is *wasted* RAM. Most people these days don't care since 4GB+ is the norm. But in extreme system duress, that clutter makes a difference.
For example, RAM is the great barrier for how large an embark you can get. (FPS is a different issue). I recently had my friend run DF on his server and he can embark on a FULL SQUARE. I beleive that's like 32x32 or 64x64, I forget. But yeah, he takes the *entire* area up and can run it. (FPS is, again, a whole different thing.) He has 24 GB of RAM on a server board. (Also dual quad opties). Ironically, his still runs slower than mine.