How big is the datasource behind the dropdowns?
If you are querying a lot of data in that dropdown it can slow your form down.
We reccommend using a web service and making sure that you are parmeterizing the data server side as much as possible for large lists. InfoPath has no built in way of filtering the data connection except in the form itself so it will return the entire result set of your query and any filtering has to occur in the form itself. Also, IPFS doesn't support certain kinds of filtering without a web service.
We have a product called Web Services Solution Pack (WSSP) that does this. More info is here.
Ted