As already said, on runtime there is no difference (in the class file it is always fully qualified, and after loading and linking the class there are direct pointers to the referred method), and everything in the java.lang package is automatically imported, as is everything in the current package.
The compiler might have to search some microseconds longer, but this should not be a reason - decide for legibility for human readers.
By the way, if you are using lots of static methods (from Math, for example), you could also write
import static java.lang.Math.*;
and then use
sqrt(x)
directly. But only do this if your class is math heavy and it really helps legibility of bigger formulas, since the reader (as the compiler) first would search in the same class and maybe in superclasses, too. (This applies analogously for other static methods and static variables (or constants), too.)