Get a good profiler.
Don't bother even trying to optimize C# (really, any code) without a good profiler. It actually helps dramatically to have both a sampling and a tracing profiler on hand.
Without a good profiler, you're likely to create false optimizations, and, most importantly, optimize routines that aren't a performance problem in the first place.
The first three steps to profiling should always be 1) Measure, 2) measure, and then 3) measure....
