When it comes to monitor the query performance whether it is TSQL or MDX, the process is similar. You need to have a better understanding on how queries are executed (architecture), what tools are available for monitoring and best practices to improve performance. So similar to Relational database engine...
Best Practices are good enough to follow, but simply do not read and digest. Try to implement them within your environment to keep up the performance. Similary there are many things involved within the SQL Server 2005 Analysis Services such as MDX queries, data mining etc. For any sort of performance...