proc format 可以直接把表导进去。
把字典表转一下格式就行。

data city_cd;
informat city_cd $5. city_name $20.;
input city_cd $ city_name $;
cards;
01001 广东省广州市   
01002 广东省深圳市  
02001 广西省南宁市
02002 广西省桂林市
;run;

data city_fmt;
set city_cd;
label = city_name;
start = city_cd;
end = city_cd;
fmtname = '$cityfmt';
type = 'c';
drop city_cd city_name;
run;

proc format library=work cntlin=city_fmt;
run;

data city_cd2;
set city_cd;
format city_cd $cityfmt.;
run;

proc print data=city_cd2;
run;