If you are loading a freshly created table, the fastest way is to create the table, bulk-load with COPY, then create any indexes needed for the table. Creating an index on pre-existing data is quicker than updating it incrementally as each record is loaded.
If you are augmenting an existing table, you can DROP INDEX, load the table, then recreate the index. Of course, the database performance for other users may be adversely affected during the time that the index is missing.