Hi Nikunj,
You could cache the secondary data source in the form template so that it will be part of the XSN. It will require that the XSN be copied to the local desktop whenever you update it, but 5000 items is not that huge so maybe this is acceptable. On load performance should be quite fast if everything's local.
Unfortunately, trying to use SharePoint Workspace and synchronize secondary XML file won't work because InfoPath data connections don't synch down.
Yet another option is to use SQL Express locally, but that will require some installation and additional cost to set up. We have a solution that does this but it's not free.