Hi, Steve,
You may already have your answer, but figured I'd mention this:
Even if you're using SQL2005, the version of CR that comes with VS2003 is sometimes painfully slow at processing data.
Don't know if you're able to upgrade, either to CR10/CR11 or at least the version of CR that comes with VS2005, but those versions of CR are up to 2.2 times faster at processing data. Especially when pushing datasets. As I believe Mike Cole said to you, you are better off pushing datasets into CR (push model), than having CR execute your back-end database code/stored procs (pull method). CR has never been very fast at the pull model, in my opinion.
Kevin