If you are afraid to consume your bandwidth, server load and whatnot, you can just call the library from facebook, they offer the library to be called in the compressed and the uncompressed version, anytime a user will request your page, they will pull the library from fb.me and not from your server.
CDN is not something to use with React since it's 30kb, cdn are for bigger streaming data and file management.
Use these script tags to load React, they are offered by Facebook:
React 0.14.3 (development)
<script src="https://fb.me/react-with-addons-0.14.3.min.js"></script>
<script src="https://fb.me/react-dom-0.14.3.min.js"></script>
React 0.14.3 (production)
<script src="https://fb.me/react-0.14.3.min.js"></script>
<script src="https://fb.me/react-dom-0.14.3.min.js"></script>
React with Add-Ons 0.14.3 (production)
<script src="https://fb.me/react-with-addons-0.14.3.min.js"></script>
<script src="https://fb.me/react-dom-0.14.3.min.js"></script>
If you are interested in being more efficient, write code that consumes less bandwidth, by reducing functions, less repeating, more algorithmic ways and include less files.