I have \"inherited\" a little C# method that creates an ADO.NET SqlCommand object and loops over a list of items to be saved to the database (SQL Server 2005).
Right
Microsoft recommends using transaction scope:
http://msdn.microsoft.com/en-us/library/system.transactions.transactionscope.aspx
The basic idea is that transaction scope will manage the "ambient transaction context" for you. You start by talking to one database, you have an sql transaction, then you talk to database number 2, and the transaction is elevated to a distributed transaction.
Transaction scope does work for you, so that you can concentrate on the functionality of the system, rather than the plumbing.
EDIT
When you use a transaction scope everything within that scope is covered by the transaction. You therefore, save a line of code, where you connect the command to the transaction. This is a possible source of error, for example if there were one chance in 1000 that this line had been forgoten, how many would you be missing.
EDIT 2
Agree with comment on Triynko below. However, we use Entity Framework, EF will automatically close and reopen a connection in order to enlist it in a transaction. It does not physically close the connection more like, it releases it to the connection pool and gets a new one, which can be the same one or can be a different one.