You should be able to tune an identical database on the local development server using trace data collected from a remote production server (Express).
But you cannot use trace tables stored in the remote server to do this.
According to Considerations for Using Database Engine Tuning Advisor, "Database Engine Tuning Advisor cannot tune a workload in a trace table that resides on a remote server"
But I guess you are using trace files, so this should not be an issue.
If you don't get any recommendations, you should first check the list on the previously mentioned MSDN page:
Database Engine Tuning Advisor might
not make recommendations under the
following circumstances:
The table being tuned contains less
than 10 data pages.
The recommended indexes would not
offer enough improvement in query
performance over the current physical
database design.
The user who runs Database Engine
Tuning Advisor is not a member of the
db_owner database role or the sysadmin
fixed server role. The queries in the
workload are analyzed in the security
context of the user who runs the
Database Engine Tuning Advisor. The
user must be a member of the db_owner
database role.