As Wouter says, BioMart is not really a suitable tool for this as it cannot handle that much data. The Variant Effect Predictor (or VEP) can, however take millions of variants and output for you which genes they hit and what effects they have. It will also allow you to filter your list by consequences, frequency, gene names etc, so that you can prioritise variants for further study. For your number of variants I would recommend using the standalone script with a cache, all of which is documented.