PeterH:
How much data do you need to store per sample? I think the SD write becomes more efficient if you buffer the data and write it in larger chunks, but you only have limited memory to do the buffering. I think that 8KHz sampling of a single input is probably barely possible if you use the standard analogRead() function, and to get a fourfold increase you'd need to manage the analog reading at a lower level and perhaps reduce the resolution.
It would be best to store the entire 10 bit ADC sample but I may compromise with the resolution and store just 8 bit as that will save some time. I am not using standard analogRead() function. I was calling ADC interrupt asynchronously and reading the 8 bit ADCH register. I was able to read at the desired sampling speed, only problem is with SD card as it has writing high latency. In RAM I was only able to store some 200 values.