As Sean said, there are better ways to do it than a cursor. Here's an option using XML PATH which is explained in the following article: http://www.sqlservercentral.com/articles/comma+separated+list/71700/

To solve your problem, have you considered using a global temp table (##Table)?

DECLARE @firstsql VARCHAR(max)

SET @firstsql = 'SELECT Site, [Family ID], [First Name], [Last Name], [Survey Status], [Date Started], [Date Completed], '

+ (SELECT

', [' + cf.sourceSystemFieldID + '] AS ' + ISNULL(NULLIF( tf.preferredFieldName, 'NULL'), 'EDIT')

FROM [itmidw].[tblCrfTranslationField] tf

JOIN itmidw.tblCrfFields cf ON tf.fieldID = cf.fieldID

WHERE crfVersionName = '6MonthBaby: v1'

FOR XML PATH('')) --Change HERE

+ ' INTO ##AGlobalTempTable'

+ ' FROM etl.SurveyBaby6_Stage'

PRINT @firstsql

EXEC (@firstSQL)