I was tempted to code it up, and it turns out you can do it in pure python.

I thought of 4 ways to copy the data: using a for loop (like you did),
using numpy.fromiter, using numpy.fromstring, and using Marshal.Copy.

Obviously the for loop is the slowest. numpy.fromiter is still slow, but
~2.5x faster than the for loop (still has all .NET array checks since this
is in Python and the indexers cannot be optimized away). The last two do
direct memory copies (fromstring gets the memory pointer of the .NET array
while Marshal.Copy gets the memory pointer of the NumPy array). They are
both MUCH faster than a for loop, especially for larger arrays (>200x
faster). numpy.fromstring is faster for smaller arrays, but by the time I
got to 10000000 doubles it was twice as slow as Marshal.Copy.

Here is the code:

import clr
from System import Array, Double, IntPtr, Random
import numpy as np
import time

def check_arrays(a, b):
if len(a) != len(b): print("Arrays are different size!")
if any(A != B for A,B in zip(a, b)): print("Arrays have different
values!")

print("Creating source...")
r = Random()
src = Array.CreateInstance(Double, 10000000)
for i in xrange(len(src)): src[i] = r.NextDouble()

print('Copy using for loop'),
start = time.clock()
dest = np.empty(len(src))
for i in xrange(len(src)): dest[i] = src[i]
end = time.clock()
print('in %f sec' % (end-start))
check_arrays(src, dest)

print('Copy using fromiter'),
start = time.clock()
dest = np.fromiter(src, float)
end = time.clock()
print('in %f sec' % (end-start))
check_arrays(src, dest)

print('Copy using fromstring'),
from ctypes import string_at
from System.Runtime.InteropServices import GCHandle, GCHandleType
start = time.clock()
src_hndl = GCHandle.Alloc(src, GCHandleType.Pinned)
try:
src_ptr = src_hndl.AddrOfPinnedObject().ToInt32()
dest = np.fromstring(string_at(src_ptr, len(src)*8)) # note: 8 is size
of double...
finally:
if src_hndl.IsAllocated: src_hndl.Free()
end = time.clock()
print('in %f sec' % (end-start))
check_arrays(src, dest)

print('Copy using Marshal.Copy'),
from System.Runtime.InteropServices import Marshal
start = time.clock()
dest = np.empty(len(src))
Marshal.Copy(src, 0,
IntPtr.__overloads__[int](dest.__array_interface__['data'][0]), len(src))
end = time.clock()
print('in %f sec' % (end-start))
check_arrays(src, dest)

Jeff