Sometimes I need to move old data from a client's legacy site. Last time it was MS Access.. 96 Mb of CVS data =)
Here is how I managed to import all of this:
1) First thing I did - I imported CSV files as tables into the same DB which the Drupal site uses. This would simplify working with it and in case something would be forgotten you could always import this back. And once you are sure that all data is in place - just dump the imported tables.