Creating a Primary Key on a temp table - When?

This depends a lot.

If you make the primary key index clustered after the load, the entire table will be re-written as the clustered index isn't really an index, it is the logical order of the data. Your execution plan on the inserts is going to depend on the indexes in place when the plan is determined, and if the clustered index is in place, it will sort prior to the insert. You will typically see this in the execution plan.

If you make the primary key a simple constraint, it will be a regular (non-clustered) index and the table will simply be populated in whatever order the optimizer determines and the index updated.

I think the overall quickest performance (of this process to load temp table) is usually to write the data as a heap and then apply the (non-clustered) index.

However, as others have noted, the creation of the index could fail. Also, the temp table does not exist in isolation. Presumably there is a best index for reading the data from it for the next step. This index will need to either be in place or created. This is where you have to make a tradeoff of speed here for reliability (apply the PK and any other constraints first) and speed later (have at least the clustered index in place if you are going to have one).

You may as well create the primary key before the inserts - if the primary key is on an identity column then the inserts will be done sequentially anyway and there will be no difference.

If the recovery model of your database is set to simple or bulk-logged, SELECT ... INTO ... UNION ALL may be the fastest solution. SELECT .. INTO is a bulk operation and bulk operations are minimally logged.

eg:

-- first, create the table
SELECT ...
INTO #TempTable
FROM MyTable
WHERE ...
UNION ALL
SELECT ...
FROM MyTable2
WHERE ...

-- now, add a non-clustered primary key:
-- this will *not* recreate the table in the background
-- it will only create a separate index
-- the table will remain stored as a heap
ALTER TABLE #TempTable ADD PRIMARY KEY NONCLUSTERED (NonNullableKeyField)

-- alternatively:
-- this *will* recreate the table in the background
-- and reorder the rows according to the primary key
-- CLUSTERED key word is optional, primary keys are clustered by default
ALTER TABLE #TempTable ADD PRIMARY KEY CLUSTERED (NonNullableKeyField) 

Otherwise, Cade Roux had good advice re: before or after.