I've done it many times. Somehow, you never seem to get the tides in your favour.
But there are no particular problems unless the wind is strong - as with anywhere else.
There's more shelter off Mousehole in a westerly than you might expect. The waiting moorings off Penzance can be a bit choppy if the wind if fresh and SWly. There's a nice anchorage off the beach just to the south of Newlyn if you've got a long wait.
No need to plan arrival at Penzance for locking in; Newlyn is all-tide either for a short stop to await the tide at Penzance or longer if you enjoy a working (non-smelly) harbour environment with low charges and excellent shore facilities. At low water strictly observe the port hand buoys inside the harbour and avoid the shore side of the pontoons where there is little depth at LWS