Yes, they're in the IL - fire up Reflector and you'll see them. If they didn't end up in the IL, you couldn't build against them as libraries. (And yes, you can reference .exe files as if they were class libraries.)
However, this is all resolved once in JIT.
Keep names readable so that you'll be able to maintain the code in the future. The performance issue is unlikely to make any measurable difference, and if you want to obfuscate your code, don't do it at the source code level (where you're the one to read the code) - do it with a purpose-built obfuscator.
EDIT: As for what's included - why not just launch Reflector or ildasm and find out? From memory, you lose local variable names (which are in the pdb file if you build it) but that's about it. Private method names and private variable names are still there.