<p>Did you ever use SQL Server auditing features on a production db?</p>

<p>How did that impact on performances, and are there differences you noticed between different versions of SQL Server.</p>

<p>Also how we need to enable the audit features.</p>

I'm afraid there's no such a thing as "audit feature". Instead you need to build it yourself depending on what kind of requirements you have. There are many ways to do this, for example
A trigger fires every time data in audited tables change. An example here:
http://web.archive.org/web/20071006100909/http://sqlserver2000.databases.aspfaq.com:80/how-do-i-audit-changes-to-sql-server-data.html
using your ORM, with NHIbernate
ideas here:
Data Auditing in NHibernate and SqlServer