Better design practice in case of having hierarchy containing many members is pretty simple, but is not often simple to implement. Unfortunately there arent that many alternatives.
Anyhow. You need to try and create additional levels in your hierarchy so your users can navigate down to the subset of members. For example Customer dimension should have Customer hierarchy where you get to particular customer navigating through Customer Country, Customer State, Customer City levels.
If you are unable to come up with such nice hierarchy, you should try and build another attribute in the dimension based on exactly the same column but set the DiscretizationMethod property for it, such it becomes a grouping level. You add this additional attribute on top of your original one to create artificial way of navigating. It is bit clugy but without a way of navigating to subset of members you are stuck with displaying nundreds or thousand of members for user and that is not a very good idea.
HTH
Edward.
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