If by "look up" you mean the Looked up Value auto-enter field option, there's a check box that you can select to enable auto-enter options during the import, this enables all auto-enter settings so it may not be possible to use it in all situations.
The relookup command/script step can also be used to trigger a look up of all the newly imported records and this can also be achieved with Replace Field Contents.
The only check box I see is the "Looked Up Value" that I have checked otherwise nothing would be looked up correct? am I missimg something here?
When I import the Item Code nothing gets looked up. When I "type in the code" this does work. I experimented with the "relook up" command and have gotten to work however this is quite slow seems on 8o records to take almost 10 seconds is this normal?
The option to enable auto-entry options is found in a dialog that pops up during Import Record. It's a very small dialog that pops up just before you initiate the import.