Doing FFT of electroencephalogram signal at 200Hz - what window size to use?
Take as big an fft as you need to get the resolution in frequency you require.  You don't need to wait 5 seconds to reevaluate an fft, just slide your window along.   For example, take points 1-1024, and take the fft.  Then wait 100ms, take the fft of points 21-1044, etc.  This will update your fft ten times per second, always using the most recent data.  You just need 1024 points to take a 1024 point fft.  They don't need to be 1024 brand new points!

For that matter, you're probably not limited to one fft.  Your program can take multiple ffts at multiple resolutions to capture whatever you need to.