I have a WAN connection between two servers of ~ 256kbit, I understand
it is quite slow when compared to a LAN.

Whenever I try to copy information from one server to the other, it
takes too long for the copy (I am using "insert proxy_table select *
from local_table").

It takes 20-30 minutes for about 16000 rows. I think it is too much
time, as if I do the same data transfer using BCP it just take ~ 12
secs, it also keeps the insert transaction open for all this time
which is unacceptable as I want to run multiple concurrent insertions.

When I check the sp_who output, it shows a "remote i/o" operation but
I have no more detail of why is it taking so long.

Is there any settable parameter which allows me to run the data copy
faster? Or is there a way to avoid running this select as a
transaction, or just make it go faster?

Thanks in advance.