T-SQL: Looping through an array of known values

What I do in this scenario is create a table variable to hold the Ids.

  Declare @Ids Table (id integer primary Key not null)
  Insert @Ids(id) values (4),(7),(12),(22),(19)

-- (or call another table valued function to generate this table)

Then loop based on the rows in this table

  Declare @Id Integer
  While exists (Select * From @Ids)
    Begin
      Select @Id = Min(id) from @Ids
      exec p_MyInnerProcedure @Id 
      Delete from @Ids Where id = @Id
    End

or...

  Declare @Id Integer = 0 -- assuming all Ids are > 0
  While exists (Select * From @Ids
                where id > @Id)
    Begin
      Select @Id = Min(id) 
      from @Ids Where id > @Id
      exec p_MyInnerProcedure @Id 
    End

Either of above approaches is much faster than a cursor (declared against regular User Table(s)). Table-valued variables have a bad rep because when used improperly, (for very wide tables with large number of rows) they are not performant. But if you are using them only to hold a key value or a 4 byte integer, with a index (as in this case) they are extremely fast.

declare @ids table(idx int identity(1,1), id int)

insert into @ids (id)
    select 4 union
    select 7 union
    select 12 union
    select 22 union
    select 19

declare @i int
declare @cnt int

select @i = min(idx) - 1, @cnt = max(idx) from @ids

while @i < @cnt
begin
     select @i = @i + 1

     declare @id = select id from @ids where idx = @i

     exec p_MyInnerProcedure @id
end