Need Advice - A Delay Timer In Retrieving Remote Data, A Good Idea?

I have an application that automatically reads a lot of data from a third-party application into my database, via XML. For example, I might read a couple thousand rows-worth of XML data, one row at a time in a foreach loop.

To reduce the load on their server and database, I thought about putting a 2 second delay in between each of my automatic requests. Would this really help much, or is there enough overhead (setting up/tearing down connections, etc) with each request that it wouldn't reduce server load much anyway?

Is 2 seconds enough? Too little or too much?