The natural way is of course recursion.

sub build {
  my $ref  = shift;
  my $keys = shift;
  my $key  = shift @$keys;

  # only one left in keys. that must be the value.
  if ( @$keys == 1 )
  {
    $ref{$key} = $keys->[0];
  }
  else
  {
    $ref{$key} = {}
      unless defined $ref{$key};

    build($ref{$key}, $keys);
  }
}

my $hash = {};
while (<DATA>)
{
  build($hash, split /:/);
}
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