Problem Insert using Linq to Entity- many relationships

Hi there,
I have a problem using linq to Entity to perform a simple insert.
An example for my problem:
The tables:
gafProducts - n .. 1 - gafProcuctsType
gafProvices - 1 .. n - gafCities

And finally, gafProducts - n .. 1 - gafCities.

So, I did well when gafProducts had gafCities or gafProcutsType, the insert works, but when I have objects for these two tables (gafCities AND gafProductsType) the insert fails.

I already did it setting the EntityKey for the tables objects, and its works if I insert with gafCities data OR gafProductType data, not with both.

The exception:
Entities in 'DBEntities.gafCities participate in the 'FK_gafCities _gafProvinces relationship. 0 related gafProvinces were found. 1 gafProvinces is expected.

But, why this happens if 'gafProvinces' are related in 'gafCities' (look the include).

public void SaveProduct(gafProducts d)
        {
            using (DBEntities db = new DBEntities())
            {               
                if (d.gafProductsType != null)
                {
                    d.gafProductsType = db.gafProductsType .Where(w => w.productTypeId == d.gafProductsType .productTypeId ).First();                   
                }                
 
                if (d.gafCities != null)
                {                    
                    d.gafCities = db.gafCities .Include("gafProvinces").Where(w => w.cityId== d.gafCities .cityId).First();                                 
                }                
 
                db.AddTogafProducts(d);
                db.SaveChanges();                
            }
        }

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