Yes you will get a overhead from Thin Provisioning, this is stated by VMware, that said, the improvements in the IO stack should compensate for that. as to watching your Datastores more carefully, VMware have thought about that too and have introduced new Alarms to monitor LUNs. That said if your Storage Vendor already provides the ability to thin provision this feature is on the whole superfulous to your requirements.
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Tom Howarth VCP / vExpert
VMware Communities User Moderator
Blog: www.planetvm.net
Contributing author for the upcoming book "VMware Virtual Infrastructure Security: Securing ESX and the Virtual Environment”.