Joel, Another option
Take a look in Sql Book On-line for BULK INSERT command.
I never tryed but it must be something like:

SELECT YourVFPTable
COPY TO c:\Test.TXT DELIMITED WTH CHARACHTER "~"

sqlCommand = "BULK INSERT INTO YourSqlTable FROM 'c:\Test.TXT' WITH {FIELDTERMINATOR = '~', ROWTERMINATOR = '|\n'}

SQLEXEC(sqlHandler, sqlCommand)

But kkep in mind that with Bulk insert You can;t transform the Data.