Hi Donatas,
There are documents listing tips to improve usage of Web Intelligence clients (like http://scn.sap.com/docs/DOC-58571 and Tips for Fine Tuning Performance of the Webi Applet Interface (Java Report Panel) - Business Intelligence (BusinessObjec…) but I guess first thing would be to check if it works better with HTML interface. Since it's a lightweight interface it should behave way better, and you lose only few features.
Of course if you have a valid use case requiring Rich Internet Application, and this memory bottleneck is a blocker then you can create a CSS message to ask for investigation.
Best regards,
Loic