You can use the Microsoft CRM 3.0 Bulk Import Wizard to import bulk data into default and custom attributes of system entities. But, if you want to import custom entities you need to write your own import tool.
This article, and the sample code supplied in the download, shows you how to create your own application that lets you programmatically import data into entities not supported by the Bulk Import Wizard. The article steps you through the process, from building the application to performing and verifying the import.
In addition, the article describes best practices for better performance when using the Microsoft CRM 3.0 SDK.
You’ll find it here on MSDN: Microsoft Dynamics CRM 3.0: Bulk Import.