If you intend to import csv files through the UI, the best is to export sample data first to see what is the format of an exported csv file and reuse this format to import your data. Obviously, if you need to import objects that are associated with each other, you will need to understand the different concepts of database ids, xml ids, external ids,...

However, if you have tens of thousands of records (or more), importing through the UI is not going to work. The risk for the system to hang will be too high. In that case, you should code a script to import the data from your source (a db or a readable file) through the ORM. There are a couple existing tools that will allow you to do this without having to start from scratch. To name a few: Kettle modules and OpenERP client libraries like openerp-client-lib, OERPLib, oersted. Still it will require extensive work. In any IT project data import is always very complicated because it's always a different situation depending on the original DB structure, the sources, the objects to import,...