Skip Foreign Key Violations During Insert Operations?

I'm trying to optimize a few batch import procedures we use in our processes.

It currently works like this:

1) Cursor loop cycles through all data to be imported from IMPORT table

2) For every record there is an attempted insert to PROD table in a TRY-CATCH check to see whether the record would pass all the primary key and foreign key constrains in PROD table

3) Only those that pass the TRY-CATCH check gets imported into PROD table

4) Every row gets logged into a separate LOG table, either with a comment like "Import OK" or "Error: foreign key violation in field 'my_id'"

The thing is, the procedure runs fine when I'm importing several thousands of records, but when it comes to hundreds of thousands, the speed becomes an issue, as I currently get 20 records per second and slowing...

There is no other code in that procedure, no queries. Just the Cursor cycle and the try-catch check.

PS: I'm using MS SQL Server 2005.