>Let's take this as example, my application has tables to store Country, State, City, Province. And each table has a fk to the other table.
>
>Example
>
>1. CountryPK will be a FK to State.
>2. State PK will be a FK to City.
>
>Assumed those data will be added from time to time. Thus, I have a default script to store all the latest data.
>
>Default Data Script
>

>-- * Step 1 - Create a table variable with identical structure of the actual table --
>DECLARE @Country TABLE (pk INT IDENTITY(1,1) PRIMARY KEY, newPK INT, CountryCode VARCHAR(60), 
>	CountryName VARCHAR(60), isNew BIT DEFAULT(0))
>	
>DECLARE @recIndex INT
>DECLARE @recCount INT
>DECLARE @newRecPK INT
>DECLARE @CountryCode CHAR(3)
>
>-- * Step 2 - Create INSERT for each default data --
>INSERT INTO @Country(CountryCode, CountryName) VALUES ('UK', 'United Kingdom')
>INSERT INTO @Country(CountryCode, CountryName) VALUES ('JP', 'Japan')
>INSERT INTO @Country(CountryCode, CountryName) VALUES ('CN', 'China')
>INSERT INTO @Country(CountryCode, CountryName) VALUES ('HK', 'Hong Kong')
>
>-- * Step 3 - Compare Data --
>SET @recIndex = 1
>SET @recCount = (SELECT COUNT(*) FROM @Country)
>SET @newRecPK = ISNULL((SELECT MAX(CountryPK) + 1 FROM Country),1)
>
>WHILE @recIndex <= @recCount
>	BEGIN 
>		SET @CountryCode = (SELECT TOP 1 CountryCode FROM @Country WHERE pk = @recIndex)		
>
>		IF NOT EXISTS (SELECT * FROM Country WHERE CountryCode = @CountryCode)
>			BEGIN
>				UPDATE @Country SET newPK = @newRecPK, isNew = 1 WHERE pk = @recIndex
>				SET @newRecPK = @newRecPK + 1	
>			END
>		
>		SET @recIndex = @recIndex + 1
>	END
>
>-- * Step 4 - Checking for State, City, Province ... --
>-- ...
>
>-- * Step 5 - Insert New Country, State, City, Province ... --
>INSERT INTO Country(CountryPK, CountryCode, CountryName)
>	SELECT newPK, CountryCode, CountryName FROM @Country WHERE isNew = 1
>
>SELECT CAST(@@ROWCOUNT AS VARCHAR) + ' records added...'
>

>
>Actual Table in Database
>

>CREATE TABLE Country
>	(CountryPK INT PRIMARY KEY, CountryCode CHAR(3), CountryName VARCHAR(60))
>

>
>The main reason I choose to use table variable as I need a place to store the newly added PK as they will be used in the further steps of update.
>
>Example
>China is added and has a PK 3, all the states in China will have a FK 3 when inserted.
>
>Perhaps my thought is too complicated, using a UPDATE/SELECT would be more efficient?

Yes as I said, use set based commands. I don't see a need for cursor or while in this.
Cetin