Performance testing thick client applications can be made very straight forward using the WinLoad add on for QTest. This video is the first of two showning a demo on an Citrix Xen Server hosted on Amazons EC2 service.
Performance testing is often left to the end of a project, it shouldn't be but it is.
At this time a tool that can offer realistic simulations while being easy to use is what's needed. QTest offers this - see more here.