The problem isn't so much the amount of data, but where the data is being loaded from. I am loading the data on demand using a web service. Depending on the connection speed, we are talking about a 10-20 second lag time to get the amount of data required to display a page (screen) of the grid.

Wow, that's a big delay. It seems like maybe what you need to do implement some sort of paging system and load the data one page a time. The grid doesn't have any support for paging, but you could implement something yourself by simply binding the grid to a single page of data and giving the user navigation buttons.

It doesn't seem like OnDemand mode is right for your situation.