Mellis78,
From your question it looks like your are using SAS on a windows machine. Is this correct? You could use the older SAS\ACCESS proc that may speed it up. You should also check with SAS 919-677-8008 for the best way to access you data. The mainframe could be slow in returning the information.
If you have the new (v 8.2 and up) ODBC sas engine, you could use the libname statement like this:
LIBNAME _temp ODBC dsn="your_dsn_file";
This only works on Window machines! If you know the data and its format you could write a 'view' (on the mainframe side like a SQL query) and access that view. This method may speed your data mining process.
Another method that probably will not suit you is to load the data into a SAS dataset on the mainframe. SAS can read datasets across platforms.
If you could please explain a little more about the problem you have. Perhaps someone here can address it.
Klaz