Here\'s my test code, which seems to suggest that it\'s better to connect multiple times instead of connecting just once.
Am I doing something wrong?
Definitively, it's better to have one connection. Maybe you are running your benchmark with small amount of data. Try increasing the number to 1,000 or 10,000.
Another point is that, depending on your app configuration, you might think you are running with multiple connections but .NET is pooling connections for you, so you are basically running with the same connections.