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
I don't think it makes any significant difference in your case:
When you create it up front before the inserts start, you could potentially catch PK violations as the data is being inserted, if the PK value isn't system-created.
But other than that - no big difference, really.
Marc