{
    local $, = $/;
    open my $file,'>', $filename or die 'Couldn't open file: ", $!;
    print $file @my_array or die $!;
    close $file or die $!;
}
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That does it all in a single print statement without concatenation. On item at a time is printed and terminated with the portable newline, default $/. The error checking is a bonus, and the lexical filehandle will close itself it the block is exited abnormally. Run benchmarks if you like, it ought to be ok, but on a filesystem, performance first means getting it right. You want to know if the print fails.

After Compline,
Zaxo