Postgresql import from SQL Server - how to auto-generate sequences
In CREATE table you can use bigserial/serial type 

CREATE TABLE xx (
 id  serial,
 data text
);


if you need to create sequence then 
CREATE SEQUENCE serial START 1; 

"Simple" way to import data from MSSQL is following
CREATE TABLE and replace IDENTITY with serial
Import all data. If you dont import id values, Postgresql replaces them with with new values. Example

INSERT into xx (data) VALUES ('test') ; 


This creates new id for  row

 INSERT into xx (id, data) VALUES (1, 'test') ; 


this one does not.
So import data with id and run

 select setval('xx_id_seq', max(id)) FROM xx


xx_id_seq is default naming convention where xx is table name id is column and seq id for sequence ( in my system pgadmin3 creates table with that logic)

If you want to automate whole process you need to write lot of code which reads INFORMATION_SCHEMA and does dynamic SQL , but i assume that it is not the question.

For more information see manual

sequences see : http://www.postgresql.org/docs/9.3/static/sql-createsequence.html

manipulating sequnces see: http://www.postgresql.org/docs/9.3/static/functions-sequence.html

datatypes see: http://www.postgresql.org/docs/9.3/static/datatype.html