Hi @braktheman,
Welcome to our community! 
You are right. The more complex colliders are the busier is the physics simulation. For this reason, we try to use the simplest collider shape possible. Of course, “simplest” depends on the individual case. The goal is not to create a collider shape which looks like our rocket but a collider shape which makes the collisions with our rocket look believable.
Regarding the design of your rocket, is the player able to see that a specific capsule of the rocket collides with an obstacle? Or would it be sifficient to cover the 4(?) cylinders with one box collider? 2 box colliders are more performant than one box collider and 4 cylinder colliders.
Test your game with the simplest colliders. If you aren’t happy with the result, replace colliders or add more until the game looks and feels good. And do not try to copy the real world. In many cases, realism in game feels fake anyway (see for example, jumping animations in platformers such as Super Mario; a realistic jumping animation would not feel as “real” as the unrealistic behaviour).
Hopefully, this helped.
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- Forum User Guides : How to mark a topic as solved