OpenAds is very powerful but also very complicated to setup. I don't think it's worth the effort just for adsense, you'd be better off with AsRep for adsense click tracking.
I use both. OpenAds is free and yeah the setup is a bit more complicated but it is worthwhile once it is setup. I am offering a free trial of OpenAds here: http://www.branica.com/openads.htm. But you should know that OpenAds is also allowing free trails (not sure if it open yet though). Asrep costs $$$ but is useful.
Is it better to use openX on their server? I heard the software consumes resources. I currently use MaxBannerAds for my wordpress blog, but hostgator made me remove it due to CPU consumption.