I can't help with the DO command, but there is an alternate to Carlos' suggestion on your multiple OR's.

CASE INLIST(pdTodaysdate,{4/3/2006},{5/1/2006},{5/29/2006},{7/3/2006})

In my applications I rarely worry about SET DATE. If that becomes an issue for you then use STRICTDATE format.

CASE INLIST(pdTodaysdate,{^2006/4/3},{^2006/5/1},{^2006/5/29},{^7/3/2006})