Well, you could build a query that has multiple inserts in it:
string sql = "INSERT INTO table (col1, col2) values (@val1,@val2);" +
"INSERT INTO table (col1, col2) values (@val3,@val4);"
But dealing with the parameters for the command would get a bit tricky.
You can also use DataAdapters and DataTables to do batch inserts. That would probably be the best option, although the usage is a bit strange (not nearly as nice as Java's addBatch() / executeBatch()
for example).
Performance wise, you'll almost certainly get a nice performance boost by doing this, although you might need to play around with the batch size a bit to figure out what works best