Ah yep, sorry SQL Express 😛 I was reading MSDE...

If you can't change the architecture then minimise the amount of data transfered across the linked server boundary. If at all possible (as the main article mentions) avoid all joins between linked servers - I've found the best performance is when you use remote exec a proc on the remote server and insert the results into a table on the local side with INSERT... EXEC... as the query is entirely resolved on the remote side and the results only come back to the local server.

This of course requires the remote proc to be almost self-sufficient - I have no idea of your schema but if the remote clients use tables that share a common schema with the central server if may be possible to have a remote proc which takes a single parameter (eg max(primary key value) from the central table) and returns all rows from the remote (client) table that are higher than that value, or similar. Or even better, if you are inserting into seperate tables from each client and have your data partitioned by something simple like date, no parameters need to be passed at all.

Regards,

Jacob