It is generally a bad idea to run two real-time protection antiviruses. It isn't a matter of performance. AV programs tend to interfere with each other, and cause a number of issues, including causing the computer to crash immediately after logon, having one AV mistake the other for a virus and trying to delete it, and causing both to not function properly, leaving you unprotected.
The best idea is to use a on-demand scanner such as MalwareBytes Anti-Malware free version. MBAM only runs when you start it and does not cause the problems I listed above.
Also, Microsoft Security Essentials (MSE) performs better than AVG in every test, and had earned a number of awards from independent groups since its release less than a year ago. Also, it is a proven fact that MSE and Avira AntiVir free (another good AV program) can run side-by-side without issue. I would not run AVG and MSE at the same time, as a variety of problems have been reported, including resulting networking issues and recurrent Blue Screens of Death.