I'm an XQSharp developer, but I'll try to give an unbiased answer.
Both XQSharp and Saxon are good products. Each has high conformance to the standard and both aim for great performance. My best advice is to download trial editions and test with the sort of transformations you expect to run. We'd be interested to hear how you get on.
If you are running in a .NET environment, I would expect XQSharp to have a few advantages. Firstly, it is developed in .NET, while Saxon is developed in Java and uses IKVM to run on .NET. You might like to compare the Java and .NET editions of Saxon to determine whether this imposes a performance overhead.
XQSharp is intended to integrate well with classes from the .NET framework System.Xml and System.Xml.XPath namespaces. For example, the implementation makes use of XPathNavigators. You might find this familiarity helpful.
XQSharp implements and extends the feature found in XslCompiledTransform to call out to .NET from XSLT, which you may find useful.
See this list of implementations.