In order for you to know that MySQL is fully processing the SQL from the relay logs. Try the following:
Check the network status with your Network Ops group, and allocate dedicated bandwidth to the MySQL replication process, if possible.
STOP SLAVE IO_THREAD;
This will stop replication from downloading new entries from the master into its relay logs.
The other thread, known as the SQL thread, will continue processing the SQL statements it downloaded from the master.
When you run SHOW SLAVE STATUS\G, keep your eye on Exec_Master_Log_Pos. Run SHOW SLAVE STATUS\G again. If Exec_Master_Log_Pos does not move after a minute, you can go ahead run START SLAVE IO_THREAD;. This may reduce the number of Seconds_Behind_Master.
Other than that, there is really nothing you can do except to:
Run SHOW PROCESSLIST;, take note of the SQL thread to see if it is processing long running queries.