I just tried again because its been a few days.
The first time it crashed, but there was no memory dump 
The second time, I started to notice a slight slow down around 7 cities connected by caravan, by 10 it was slow enough that it wasn't playable in terms of it being fun. When pressing the end turn button it stayed yellowish for between 0.5-1 seconds, which isn't bad, but the graphic animations become very jerky/jumpy and after the 10th city the soveign's icon was starting to disappear and reappear.
I'm not sure if this is intended, but when two cities connect they exchange a pair of round tokens, and the two tokens stay there, then one token starts moving between them. The initial ones stay there forever.
At the end when I checked the memory usage, it was at 718 M. I didn't track the memory usage at each stage. After going to the task manager I couldn't get back to the game (and there wasn't a memory dump that I could find) My machine is running XP with 4GB of physical memory. The only other thing I was running was impulse.
Another thing I didn't do the whole time was count caravan tokens, but at 7 cities connected I counted 20, and at 8 between 30 and 33.
I'm not sure if it makes a difference, but when setting up the roads I connect each new city only to the last city that I conquered.
