Instead of using a loop, you can combine the data into a single database query.

insertMultiSQL.php

<?php

$userData = array();
foreach ($userList as $user) {
    $userData[] = '("' . $user['first_name'] . '", "' . $user['last_name'] . '")';
 }
$query = 'INSERT INTO users (first_name,last_name) VALUES' . implode(',', $userData);
mysql_query($query);