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C#: Asynchronous delegates vs ThreadPool.QueueUserWorkItem when initiating many connections

When should one use the thread pool or make use of delegates to turn a blocking method into one which isn't? Also, when should one just create a thread (I know this is expensive and one guideline is when you're task is long running and not when you're doing several fairly long tasks in quick succession - which is when you use the thread pool).

Any other guidelines to go by?