Chcete-li vložit více záznamů, proveďte INSERT s SELECT

INSERT 
  MainTable_Option 
  (
  MainTableID, 
  OptionID
  )
SELECT
  d.ID, 
  o.OptionId
FROM
  DodgyOldTable d
  INNER JOIN Option o ON
    (d.OptionVal1 = 'Y' AND o.OptionDesc = 'OptionVal1') OR
    (d.OptionVal2 = 'Y' AND o.OptionDesc = 'OptionVal2') OR
    (d.OptionVal3 = 'Y' AND o.OptionDesc = 'OptionVal3')