Be sure to uncheck "display all results in grid". That makes a huge difference on big exports.
When that option is checked, we use the query that is connected to the grid (and we can't unconnect it). So you have to wait for all of the processing that goes along with keeping all rows in memory, displaying them in a grid, and scrolling. When "display all results in grid" is unchecked, we re-execute the query in a way that is not connected to any grid, and in a way that is unidirectional. So once we are done reading a row from the query, it is no longer kept in memory.