I have the latest version of LLBLGEN and trying to find the most efficient way to read records returned from a SP into a entity collection. I need to be able to limit number of records returned and sort the collection.

Projections should be help you here. Please read LLBLGenPro Help - Using the generated code - (Adapter | SS) - Fetching DataReaders and projections - Resulset projections - Projecting Stored Procedure resultset onto entity collection