Thomas LeBlanc explains how to use Lookup components as part of warehouse loading:
The “Fail component” option will stop processing of the import if no match is found in the lookup table. This is not a good option for loading data into a fact table. Most systems would want the import to continue for the customer surrogate keys that are found.
Ignore Failure – Null will replace lookup values selected. Those rows with no match are streamed to the normal flow in package with the Null value in match columns selected.
Redirect rows to error output – red line output will show a failure but can pipe the data to any component. Those rows with no match are not streamed to the normal flow in package.
Fail component – the package stops with a failure if no match exists, if all match there is no failure
Redirect rows to no match output – output can be piped to another component and processing continues. Those rows with no match are not streamed to the normal flow in package.
Lookup components are one of the more powerful components in a data flow task. Read the whole thing.