Are you editing the sketch in the assembly? That's going to slow things down right there. What happens when you try it in the part itself?
I have issues with large sketches being slow when I want to delete items. I have found the if I make a block from the items to be deleted, I can then then delete the block very quickly.
I am having this same issue. I imported a .dwg into solidworks 2015. I use the sketch for reference only. I create a new sketch and use convert entities over the imported sketch. All is well until I want to clean it up and delete some sketch entities. It'll take 5 minutes to delete 30 -40 entities.
Oh, the imported sketch is not THAT large at all. It's a hinge.