Look at preloaders and modules.
Without knowing your application, it is difficult to be specific, but a custom preloader can sometimes help a lot with perceived load times. Let's face it, asking the user to calmly look at the progress indicator, it's sad, and you can do better.
A common example here is that you need your application users to log in or select some basic information before moving to the main application. With an implementation that first forms as a preloader, your application will continue to download in the background while your user interacts with this form.
Disadvantage: Your preload code does not have access to all Flex features. You will need to draw your interface and implement your interaction in a simple old AS3. However, the extra work may be worth it in some situations.
Flex modules are another thing to watch out for. In a complex Flex application, not everything is commonly used. If you cut out less-used bits from the main application and move them to the module that you load on demand , you can save a fair number of bytes from the initial load size.
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