I just click on the SW taskbar icon and it fires straight up in to the last open item, I've never bothered hovering over the previews. If I wanted to switch I'd do so from within SW.
Yeh that works for small files, but they are not the problem, it's the BIG and complex stuff that gives the delay - in proportion to the size/complexity of the parts/assembly. And sure, switching is easy within solidworks, its when you dip out into say Powerpoint or desktop that the delay happens.
I'm a keyboard guy, so hold Alt and Tab to toggle through programs.
Hold Ctrl and Tab to toggle through open files
It's faster than mouse movement.