Check out the ref timezones package for an example such as Bruno gave above. Essentially put the command in a file and run it from psql using "exec" ...
And, yes, it is very much faster. While it is non-standard Oracle does have an equivalent facility and the ref-timezones package makes use of it, too. When we did inserts, even within a transaction, initial install of OpenACS took a long time, 15 minutes or so. Just using COPY for that one set of timezone data cut out 3/4 or more of the install time.
