The bottlenecks here are going to be the file system and the HDD itself. With many small files, the FS is constantly reading metadata about the files which might be separate to the file, or the files that you are reading may not be in a nice contiguous clump on the disk. In either case, the drive head has to move around a lot.
The faster you get all those small files into bigger files, the faster your overall process will be.
Unfortunately, if all you are doing is copying those files once, then having them in a single large file like an archive will only make the process slower.
read all files > archive > backup location
read all files > backup location
The optimal ways would be to either copy all the files once to a secondary location and then use the modified dates and sizes, or the archive bit, since you are using Windows, (not content examination like hashes, that would still involve reading the files) to determine which files have changed, and copy just those to the secondary location and backup from there. Or to use a system that bypasses the FS, like a RAW copy like poige suggested.