Doubt it will be anything to do with depth numbers. How do you put your games together? Do you use a lot of ClipEvent(enterFrame)s? Do you use one frame on the main timeline or do you have it looping over and over? Having broken loops or hitTests and such can also cause "lag".

If your game isn't that far through yet and you fancy, you can email me over your .fla and I will have a quick glance and see if I can spot some problems.