I just inserted 1million records into a simple sqlite table with five columns. It took a whooping 18 hours in java using the jdbc drivers! I did the same thing in python2.5
Did you have your queries autocommitted? That could explain why it took so long. Try wrapping them in a begin / end so that it doesn't have to do a full commit for every insert.
This page explains begin/end transaction, while the FAQ touches on inserts/autocommits.