One INSERT with UNIONS or multiple INSERTS?

I will suggest separate inserts. I found that performance of insert with Union All is very poor as compared to separate inserts. I tried inserting around 3500 records using both the approaches, separate insert statements were 4 times faster. (It may vary on number of columns in your insert)

I'd just UNION ALL them - the key there is not a UNION (which could be less efficient by deduping), but a UNION ALL.