It may not be the SAS server at all; it could be the method you are using to connect to the database. Storing the data locally will not help if you are still doing the analyses on the (remote) server; it just changes the location of the bottleneck.
I agree with Doc. It is almost never more efficient to run your SAS processing on your local machine. It can be complicated to figure out why a remote SAS server is running slowly against an even more remote database. Some areas to check:
1. Is the query against Oracle returning the correct records, and is it running efficiently (using indexes, etc.)
2. Is the communications pipe between the Oracle server and your SAS server fast enough?
3. Are you getting the data from your Oracle server only once, and then processing it efficiently in SAS? (Sometimes because of inefficient coding, the data bounces back and forth between servers).
It can be difficult when you're new to this environment. Posting clips from the logs can help people with more experience to advise you.