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You can use the output clause.

Something like this if your identity column is named `IdentityCol' will return you id's as a result set.

INSERT california_authors (au_id, au_lname, au_fname)
OUTPUT inserted.IdentityCol
SELECT au_id, au_lname, au_fname
FROM authors
WHERE State = 'CA'
You can insert the id's to a table using output ... into.
Here is a sample that stores the id's in a table variable.

declare @IDs table (id int)

INSERT california_authors (au_id, au_lname, au_fname)
OUTPUT inserted.IdentityCol INTO @IDs
SELECT au_id, au_lname, au_fname
FROM authors
WHERE State = 'CA'