When I first started turning I bought a few Sorby HSS gouges and a bunch of chinese tools (from woodcraft). I eventually replaced all the chinese tools with thompson lathe tools, which include cryogenics as part of their tempering process. Here's my conclusions after years of use:
1) I would never buy chinese tools again. I wouldn't use chinese tools even if you offered to pay me to use them.
2) The thompson lathe tools ("TLT") are noticebaly harder steel than the Sorby HSS ("SHSS"). This is really obvious during sharpening. The TLT are a lot tougher on the grinding wheel and will groove it if I'm not careful while sharpening.
3) Both the SHSS and TLT sharpen to a razor sharp edge. With really tough woods on large turnings, the TLT lasts longer between sharpenings. In pen turning, I don't see any difference between the two. Probably because I always sharpen before starting a new pen, and a pen (wood, resins, whatever) doesn't involve enough turning to wear out the SHSS edge .
4) I would not pay a premium for cryo tools over good quality HSS. Fortunately the thompson lathe tools are a great value. After years of hard daily use, I still haven't had to replace one. But when I need a new tool, that's what I'll get.
Ed