There is another page in the manual called Populating a Database that deals with that question. Its advice:
If you are loading a freshly created table, the fastest method is to create the table, bulk load the table's data using
COPY
, then create any indexes needed for the table. Creating an index on pre-existing data is quicker than updating it incrementally as each row is loaded.
All clear, right? But read the page, there's probably more for you.