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The best way is to start thinking about your macro process. You should go from low level of detail to high level of detail.
1. Run the Data Load Rule
2. Check members not existing in Essbase ASO Cube
3. Create members not existing in Essbase ASO Cube
4. Load Data
Then you can start thinking in each step...
- How can I check?
- How can I create members?
- When/Where should I check/create members?
Have you thought in creating a metadata rule to load dimension members before data is loaded?
Maybe you would to have a look to Essbase Java API to see how you can check if members exist and create them. You can use Java classes from Jython Scripts.
When/Where? it is obvious that you would like to do it before data is loaded (Event Script)