Is it possible and/or advisable to host a lookup file on a Windows share?
We are considering putting it on a central location to be used by multiple search heads.
If possible, is the file read and committed to memory so each lookup does not have to go over the network?
I can't answer your question specifically, but you might want to have a look at the distributed deployment options available in splunk.
Have a look at http://docs.splunk.com/Documentation/Splunk/6.3.2/Deploy/Distributedoverview
A search head cluster or deployment server may be a better way of managing lookup files for you.
Take a look at this: http://docs.splunk.com/Documentation/Splunk/6.3.2/Knowledge/Configureexternallookups
With regards to the memory usage, take a look at the maxmemtablebytes parameter: https://answers.splunk.com/topics/max_memtable_bytes.html