You should execute the command on every loop instead of building a huge command Text(btw,StringBuilder is made for this)The underlying Connection will not close and re-open for each loop, let the connection pool manager handle this. Have a look at this link for further informations: Tuning Up ADO.NET Connection Pooling in ASP.NET Applications
If you want to ensure that every command is executed successfully you can use a Transaction and Rollback if needed,