Howdy,
It isnt going to get any quicker I am affraid because the delay you are seeing is the load time and this will always need to occur.
You could look at instantiating Media Player(s) which will allow you to pre-load the clips before playing back, so you could create some sort of queing system
See here for more details:
http://msdn.microsoft.com/en-us/library/system.windows.media.mediaplayer.aspxHTH
Cheers
Expression MVP
my blog : http://x-coders.com/blogs/sneaky/default.aspx