It's been a while, but I tested DO WHILE against SCAN for HackFox. Here's what I had to say:
Guess what? DO WHILE isn't the best choice for looping through records either. SCAN was designed to process a table efficiently and does it faster than DO WHILE. Our results show that SCAN is one-and-a-half to two times faster to simply go through an unordered table one record at a time.
To give full disclosure, we have found that with some index orders, DO WHILE was as much as 20 percent faster. With other indexes, SCAN is faster, although it doesn't appear to have the same advantage as in an unordered table. (It's also worth noting that, with large tables, if the memory allocation to FoxPro isn't property tuned—see below—DO WHILE can be faster than SCAN.)
Tamar