open(REGEX, "<$filter");
while(<REGEX>) {
    next if ($_ =~ m/^\s*#.*$/);
    chomp;
    $regex .= "$_, ";
}
close(REGEX);

my $code = eval <<EOC
sub {
    for ( \@_ ) {
	    chomp;
	    $regex; ## Note: using $_ implicitely is faster
        ## extract fields and do sql INSERT
        ...
    }
}
EOC

$code->( split /^/, $lines );