The problem is that once the script times out, you can no longer do anything.
So what I did for the WU import for example is that after each day is uploaded, it overwrites the cache file and in that file it just saves "I successfully saved day XY". Then the last day it is able to execute, but not finish, will not even be in this cache file, so I included instructions you must then go to this cache text file where you will see a date and that date will be the last fully uploaded day and you have to execute the import again starting from this day. And depending on server speed you have to repeat this procedure untill you import all the data.
With WU it is particularly problematic because they only give you data on a daily basis, so you have to load each day on a separate page, so importing a yr would mean separately loading 365 pages and WU servers are also not the fastest, in my experience, you can import approximately 2 weeks to 3 months in one go, depending on your server speed.