Creating a Primary Key on a temp table - When?

Question

I have a stored procedure that is working with a large amount of data. I have that data being inserted in to a temp table. The overall flow of events is something like

Answer 1

If the recovery model of your database is set to simple or bulk-logged, SELECT ... INTO ... UNION ALL may be the fastest solution. SELECT .. INTO is a bulk operation and bulk operations are minimally logged.

eg:

-- first, create the table
SELECT ...
INTO #TempTable
FROM MyTable
WHERE ...
UNION ALL
SELECT ...
FROM MyTable2
WHERE ...

-- now, add a non-clustered primary key:
-- this will *not* recreate the table in the background
-- it will only create a separate index
-- the table will remain stored as a heap
ALTER TABLE #TempTable ADD PRIMARY KEY NONCLUSTERED (NonNullableKeyField)

-- alternatively:
-- this *will* recreate the table in the background
-- and reorder the rows according to the primary key
-- CLUSTERED key word is optional, primary keys are clustered by default
ALTER TABLE #TempTable ADD PRIMARY KEY CLUSTERED (NonNullableKeyField) 

Otherwise, Cade Roux had good advice re: before or after.