How to use cache with simplepie

The example your using from the codex adds and removes it (probably not something you want to do), and is not very clear.

By default WordPress will cache the feed for 12 hours using wp_feed_cache_transient_lifetime, the actual code WP uses for 12 hours is $lifetime = 43200

If you want to alter the cache time globally for all simplepie feeds, you can add new time to the filter,

//change cache to 24hrs
add_filter( 'wp_feed_cache_transient_lifetime', create_function('$a', 'return 86400;') );

If instead you want specific feeds to have different cache times, you can use the $url parameter in the filter.

add_filter( 'wp_feed_cache_transient_lifetime', 'change_feed_speed' );

function change_feed_speed( $lifetime, $url ) {

    if( 'http://mysite.org/some-feed.rss' == $url )
        return 86400;

    return $lifetime;
}