If the database has a bulk loading utility, that would be the best choice.
The stuff SQL Server / Oracle / probably MySQL have built-in is probably far more efficient than anything you could quickly knock up, and has the added advantage of still being editable by all (in the context of a SSIS package, for example).
What database engine are you using?
In which case, you want LOAD DATA INFILE by the looks of it. Looks extremely similar to Oracle's SQL Loader syntax.
Dump the file where you want it, write yourself a query (which you can reuse) and MySQL will load the data before ColdFusion would've even woken up.