Dear Sean,
If you have a huge amount of data then you probably need to use direct export to a bitmap file (like PNG, JPEG and so on), because GUI redrawing may be slow. But you need to test this on your computer, since MathGL draws plots rather quickly.
Also don't forget to call SetQuality(6) first to reduce memory usage, but this will disable vector output (like EPS, SVG and so on). Alternatively, you can use the combination of functions Rasterize() and Clf() to draw part of the plot as a bitmap one, and part of the plot (like axis, text, annotations, etc) as a vector one. Or you can first call SetQuality(6) for bitmap output, and switch to SetQuality(2) for vector one later.