According to the datasheet (see 1st attachment) the maximum update rate is 8kHz. Setting the update rate is done by writing to the correct register (see 2nd attachment)
As Owen Macree said max is 8khz. sampling happens in the kit. The data are sent in digital form utilizing I2C protocol after sampling and digitizing and packeting the data
Just for anyone looking at this post in the future-
the chip has a gryo and an accelerometer. The gyro can sample at 8k while the accelerometer samples at max 1k
If you want to use I2C there is this advice from the arduino forums (http://forum.arduino.cc/index.php?topic=277066.0)
Given you use 400kHz I2C speed, the highest data rate to read all values is theoretically 2.61kHz, 2.96kHz if you omit the temperature reading (15 bytes must be transmitted, needing 9 clocks each). That's a theoretical maximum that is practically never reached.
If you read only the gyro values (as the accelerometer values aren't that fast anyway) you may reach about 7kHz..