1- you build four entity beans with the PKs and FKs defined (with relations between them).
2- you should config your ejb-jar.xml to have references to entity from session  bean.
3- Implement your session bean  method like this :

public String doInsert (any parameter) {

       // Configure your JNDI Properties

        Hashtable environment = new Hashtable();

        environment.put(Context.INITIAL_CONTEXT_FACTORY,
                        " org.jnp.interfaces.NamingContextFactory");
        environment.put(Context.URL_PKG_PREFIXES,
                        "org.jboss.naming:org.jnp.interfaces");
        environment.put(Context.PROVIDER_URL , "jnp://localhost:1099");


         InitialContext ctx = null;
         try {
             ctx = new InitialContext(environment);
         } catch (NamingException ex) { 
         }

         // Lookup entity beans home interfaces (these are configured in <ejb-local-ref> or <ejb-ref> in ejb-jar.xml)

         Object result1=null, result2 = null, result3=null, result4 = null; 
         try {
             result1 = ctx.lookup("java:comp/env/ejb/FirstHome");
             result2 = ctx.lookup("java:comp/env/ejb/SecondHome");
             result3 = ctx.lookup("java:comp/env/ejb/ThirdHome"); 
             result4 = ctx.lookup("java:comp/env/ejb/ForthHome");
         } catch (NamingException ex1) {
         }
         FirstHome firsthome=(FirstHome) result1;
         SecondHome secondhome=(SecondHome) result2; 
         ThirdHome thirdhome=(ThirdHome) result3;
         ForthHome forthhome=(ForthHome) result4;

         try {
             First f=firsthome.create(field_A , field_B);
             Second s= secondhome.create (field_C, field_D, field_E);
             Third t= thirdhome.create(field_F, field_G);
             Forth fo= forthhome.create(field_H, field_J);
             fo.setFirst(f);
             fo.setSecond(s);
             fo.setThird(t);

         }  catch (CreateException ex2) {
         }

        return "";

    }