Are you creating the dimension from the fact table or from a separate table/view? I've run into this when dimensions are sourced from the fact table (normally a view for me) and that view is complex and takes some time to return results. If you are sourcing the dimension members from the fact table, I would suggets trying to make the dimension separately and using this to create/populate the dimension.
Also check your Connect Timeout and General Timeout properties for the datasource. You may be able to increase these to a level that will allow data to flow back from the server before timing out.