So basically I have this relatively long stored procedure. The basic execution flow is that it SELECTS INTO
some data into temp tables declared with he #
For a start it doesn't sound like the SQL is going to perform too well anyway based on the use of a number of temp tables (could be held in memory, or persisted to tempdb - whatever SQL Server decides is best), and the use of cursors.
My suggestion would be to see if you can rewrite the sproc as a set-based query instead of a cursor-approach which will give better performance and be a lot easier to tune and optimise. Obviously I don't know exactly what your sproc does, to give an indication as to how easy/viable this is for you.
As to why the SP is taking longer than the query - difficult to say. Is there the same load on the system when you try each approach? If you run the query itself when there's a light load, it will be better than when you run the SP during a heavy load.
Also, to ensure the query truly is quicker than the SP, you need to rule out data/execution plan caching which makes a query faster for subsequent runs. You can clear the cache out using:
DBCC FREEPROCCACHE
DBCC DROPCLEANBUFFERS
But only do this on a dev/test db server, not on production. Then run the query, record the stats (e.g. from profiler). Clear the cache again. Run the SP and compare stats.