I do this all the time. Here's how:

You have a master, detail and lookup tables.

When master changes, you should call the following
sequence:

Lookup.InvalidateSQL;
Lookup.Refresh;

This will trigger the Lookup.OnPrepareSQL event.

In that event, change Lookup.SQLWhereItems to
restrict/modify the options available based on the
Master record.

This method is very, very fast.

HTH,

Craig