Very interesting technique.

But inserting extra data and then deleting them is not the best solution, because delete operations are expensive. It's better to add a condition in order to insert only necessary data:

INSERT INTO #Dates

(

[Date],

[SomeValueForDate]

)

SELECT DATEADD(DAY, @n, [Date]) AS [Date],

@n AS [SomeValueForDate]

FROM #Dates

WHERE DATEADD(DAY, @n, [Date]) <= @dtTo -- No need to delete data after that