Create an variable and assign it to an instance of an "empty" class. Now you can add properties to the object for each field. You could use AFIELDS to get an array of the fields and then add as a property to the object. Now you can save the values to the object; and in turn save the object to a collection.

loInstance = CREATEOBJECT("EMPTY")
lnNumFlds = AFIELDS(laFields,"cursor_alias")
FOR lnNdx=1 TO lnNumFlds
    ADDPROPERTY(loInstance, laFields[lnNdx,1], "")
ENDFOR

Now you have your Instance object which can store the values. You would then save it to the collection and reset the values for the next record to save.