It really depends on how big those emails are. Emails with file attachments and/or images embedded in the email will take longer to download than an email with just text or maybe html. You can just leave the program running (if you select to skip emails with errors), and come back to it later.
It really doesn’t take very long to download even when there are attached files. An account that had 16,000 emails with file attachments only took about half an hour to download. Once you’ve run WAM to download your emails once, each subsequent download takes a lot less time. Usually it’s just 10-15 minutes.