The delay should only be a one-time thing for a given book. When you load a book onto the Reader with "Connect", the PC indexes the book (ie tells the Reader where each page starts at small, medium, and large font sizes). If you transfer a book directly via the memory card, the Reader itself does the indexing the first time you open the book (or select a new font size) and, because it has a much slower CPU, it takes a while. Once it's done, though, there should be no more delays for that book, unless you remove and replace the SD card (which wipes the indexes).
I think most of us here have given up on the idea of having vast numbers of books on the Reader - it just doesn't work terribly way. Personally I've found it better to use my PC (or, to be more specific, an external USB hard disk) as my eBook "Library", and have no more than a dozen or so books - the ones that I'm reading now, and will read in the near future - on the Reader itself.
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