nested if statements within for loops

I have a general question regarding multiply-nested statements. For "complicated nesting" (>3/4 layers), what is a better approach, especially when iterating AND using if-statements?

I have a lot of files, some of which are in sub-directories, others which are in the root directory. There are a number of directories from which I want to extract datasets and append to a target dataset (the master).

for special_directory in directorylist:
    for dataset in special_directory:
        if dataset in list_of_wanted:
        some_code
        if it_already_exists:
            for feature_class in dataset:
                if feature_class in list_of_wanted:

and then I really get into the meat of the code processing. Frankly, I can't think of a way to avoid these nested conditional and looping statements. Is there something I am missing? Should I be using "while" instead of "for"?

My actual specific code works. It just doesn't move very quickly. It is iterating over 27 databases to append the contents of each to a new target database. My python has been running for 36 hours and is through 4/27. Tips?

I posted this in the GIS stack exchange, but my question is really too general for it to belong there: question and more specific code