I am using SQL Server 2008 import and export wizard. I need to import a database. I opened the SQL server import/export wizard and I went through the following actions:-
With all due respect to Kishore's answer, that approach is valid if you're modifying the packages. Since you're using the import/export wizard, the more straight forward approach would be to check the Enable Identity Insert box on the Column Mappings tab.
In the Import Export Wizard, after selecting the table for copy, click the Edit Mappings... button

In the resulting screen, click the Enable identity insert property and your identities will be replicated over.

Same net result as issuing SET IDENTITY_INSERT TableName ON & OFF but this is done automagically at build time.