Which is generally faster, a yield or an append?

I am currently in a personal learning project where I read in an XML database. I find myself writing functions that gather data and I'm not sure what would be a fast way to return them.

Which is generally faster:

1. yields, or
2. several append()s within the function then return the ensuing list?

I would be happy to know in what situations where yields would be faster than append()s or vice-versa.