there are a few documents you should know if you want to optimize the performance of the MDX queries on your SSAS cubes:
The document SQL Server 2008: Analysis Services Performance Guide (download here) provides information on the tuning of server resources and shows strategies to enhance the performance of cube processing and query access.
The paper Identifying and Resolving MDX Query Performance Bottlenecks in SQL Server 2005 Analysis Services (download here) discusses the troubleshooting tools integrated into Microsoft Windows and SQL Server and shows how to use these tools to identify and resolve MDX query performance bottlenecks with individual MDX queries. Most of the given advices are still true for SSAS 2008 (as far as I can see...)
Some interesting papers and articles can be found at the web site of the Microsoft SQL Server Development Customer Advisory Team.
Unfortunatly there are many advices which were of interest in SSAS 2005 but are no longer relevant in SSAS 2008 - so you have to be very careful when adopting the strategies shown in various blogs and newsgroups in the Net.
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