#!/usr/bin/perl -w
use strict;

my @items = qw (P40303 Q99436 X1234 W9765543);
my $regex = join ("|",@items);
print $regex; # to see what this does 
              # put something like this in your "grep"
              # P40303|Q99436|X1234|W976554
while (<>)
{
   print if m/$regex/;
}

__END__
Perl 5.10 is pretty smart. 
I think that the /o option is not necessary here.
I don't think more complex syntax's are either.