Q: Which GAMS or Cplex option can I use to make the solver stop quickly once a feasible solution has been found?

On the GAMS level you can set optcr and optca to large numbers. If the bound and the value are on opposite sides of zero, this might result in larger values than one for optcr. For setting optca large enough you need some idea about the range of objective values. In GAMS/CPLEX there is also an option called intsollim. Setting intsollim to 1 will terminate the optimization after the first feasible solution.