First choice: use SAS/ACCESS to OLE DB to connect to the SQL Server data as a SAS library.
Second choice: you can use File->Open->OLE DB to connect EG to your SQL Server, but it's inefficient and you'll notice it's slow for large data. That's because the process moves your SQL Server data into SAS via the EG client (two hops instead of one).
To give you some advice we need to know your setup in more detail. Does your license for ACCES to ODBC apply to your SAS server license? Is your SAS server a metadata/workspace server implementation?
I don't think there any big difference in performance between OLE DB and ODBC. And the best solution is probably to have your connection to SQL Server on your SAS server if any processing spills over to SAS, or you want to store some large intermediate results.
You probably already have your local SAS defined as an EG meta server.
You need the SQL Server ODBC driver locally (most probably installed by default). In the ODBC manager you have to define your data source using this driver.
In EG, I think you just have to define a Library using a Wizard under Tools. For details se EG documentation.