I have a loop that looks something like this:
for (int i = 0; i < max; i++) {
String myString = ...;
float myNum = Float.parseFloat(myString);
You should prefer the outer version over the inner version. This is just a specific version of the rule, move anything outside the loop that you can move outside the loop. Depending on the IL compiler and JIT compiler your two versions may or may not end up with different performance characteristics.
On another note you should probably look at float.TryParse or Convert.ToFloat.