SQLCAT has created a great guid on how to Assigning surrogate keys to early arriving facts using Integration Services, in data warehouses, it is quite common that fact records arrive with a source system key that has not yet been loaded in the dimension tables. This phenomena is known as “late arriving dimensions” or “early arriving facts” in Kimball terminology.
Read the entire article here: http://sqlcat.com/msdnmirror/archive/2009/05/13/assigning-surrogate-keys-to-early-arriving-facts-using-integration-services.aspx