Can you connect to the Informix server as a Linked Server in Management Studio? 
 That would allow you to do this type of thing (pseudo code):

INSERT INTO sqlTable
SELECT *
FROM informixServer.informixDB.informixTable

Other option is to CFQUERY from one datasource, and then iterate over that 
query and CFQUERY to insert into the other datasource, but that's a bit memory 
/ CPU intensive. 

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