I had a similar issue with transferring content to USB. According to support, as files are copied DLP will make copies in a temp directory. If I remember correctly, all of the analysis is performed here. Like Morgado mentioned, DLP agent will process text files, Word documents, spreadsheets, etc pretty easily. When it encounters a compressed file, it will extract everything and analyze prior to copying content to the final destination.
I would recommend reviewing your Advanced Agent Configuration settings, as that's where we saw a quick turn around. I have had to update my agent configuration to disable/update a few attributes, such as: FileSystem.ENABLE_FILE_RESTORATION.int, FileSystem.ENABLE_VEP_FILE_ELIMINATION, FileSystem.DRIVER_OPEN_REQUEST_TIMEOUT.int, and IncidentHandler.MAX_INCIDENT_FILE_SIZE.int.
You have the option of ingoring file types, but that wasn't our ideal soluiton. DLP cannot handle some file types - I don't recall what they are. I'm not sure if DLP will just idle on them until the timeout has been reached or if it immediately goes to analyze the next file in the queue.
Thanks,
Sash