PROBLEM WITH INTERFACE BETWEEN SAP/R3 AND VISUAL FOXPRO 6.0

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I have an interface which function is to read data of some tables made in Visual FoxPro (Visual Fox Pro) and then writes this data in certain tables of SAP through a BADI; also this interface makes the opposite process (reads data of SAP tables and writes in VFP tables).

My problem is that the interface is too slow, because it exist a web service that reads one record at a time when send data to Visual Fox Pro. This web service was made in Visual Studio .NET 2005 and is in charge of getting data in one string and save it in one table, that could be done in Oracle, SQL Server or Visual Fox Pro.

I think that this is slow because the web service opens and closes the connection with Visual Fox Pro for each record that needs to be save, so I want to send a XML file and get it in a dataset in the web service; therefore in that way I will only make one opening and closing of connection to send all the records. Is possible this?