Japie i personally use CLR functions all the time, so it's probably how you are using it in an update, rather than the CLR being a problem all by itself.
can you show us your sample UPDATE statement you might use?
if the CLR is being used against a lot of rows, you might want to change it from a scalar function to a table value function instead; it returns results faster, but the usage is more akin to joining it to a table.
Lowell