you can use BDC, or any other interface supported by the LSMW in CRM, but the recommended interface for loading data from a legacy system into CRM are the XIF IDOC interfaces. This is also what I have seen being used in customer projects.
The following blog gives an example, google for more information :
http://weblogs.sdn.sap.com/pub/wlg/2197?page=last&x-order=date&x-showcontent=off [original link is broken] [original link is broken] [original link is broken]
Please remember that as of CRM 7.0 the SAP GUI application transactions are no longer supported.