The machine running wrk must have a sufficient number of ephemeral ports available and closed sockets should be recycled quickly. To handle the initial connection burst the server's listen(2) backlog should be greater than the number of concurrent connections being tested.
A user script that only changes the HTTP method, path, adds headers or a body, will have no performance impact. Per-request actions, particularly building a new HTTP request, and use of response() will necessarily reduce the amount of load that can be generated.