- To speed up connection: uncheck "Clear alises" and "Clear national variables" on "Shell" tab of login dialog. (If you fail to start session afterwards, turn them on again). This might make connection almost twice as fast. Minor improvement might be achieved by unchecking "Lookup user groups".
- Generally: Make sure that you have logging completely off.
- To start WinSCP faster (this includes "New session" command), it is generally better to use registry over INI file as configuration storage place.