I'm not too sure how elegant this is, I guess that is up for you to decide. I am assuming you have a unique field or combination of fields that are unique in the employee data.
If you create a staging table on the server, you can bulk insert the data that has all of the employee data as well as the employee address information.
From the staging table, insert the employee data. Then from the staging table join the employee table (to get the newly assigned ids) and insert the employee address data.
Finally drop the staging table.
Everything is still set oriented, so you should have good performance.