Yes they do save time. It has been proven time and again, however, the greatest time savings appears to be if one is consistently traveling faster than 20 mph. I'm slow, but am still going aero!
Yes, it is proven that shaving one's legs can save time, but the difference is only fractions of a second to maybe 3 - 5 seconds at the most. It is argued that the more practical reason for shaving legs has to do with a few issues such as: it is easier to clean road rash wounds without having to pick through the mangled leg hair, it is easier and possibly more productive for sports massage without hair, and of course there is a very small margin of time savings in non-wetsuit events and on the bike, but those time savings are very, very slight.
Frankly, there is actually a "coolness factor" for shaving legs. It does prompt questions from non-athletes and it gives you the chance to talk about triathlon! I think that's a very good reason and why I've shorn the leg hair. In fact, I prefer waxing. It is not that painful and if you find a good practioner, it is actually quite relaxing. In between waxings, you can use a simple razor in the shower once a week or so to keep things in check.