Automatic scan of a drive upon insertion will surely cause a performance issue. But you should definitely enable scanning when reading/writing operation is taking place. With that said, if you have Auto-play enabled from Active Directory GPO then when you plug-in the USB sticks, VSE OAS will scan the files.
1. On-Access Scan Properties>All Processes>Scan Items>Scan Files
Check "When reading from disk"
2. On-Access Scan Properties>All Processes>Scan Items>Scan Files
Check "When writing to disk"
Carefully implement your policies. If portable drives are an issue in your environment, you may want to look at DLP or File & Removable Media Protection products from McAfee.