After a fair amount of research and some errors, I modified my code so that it creates a new DataContext each time the database is queried or data is inserted. And the database is queried frequently - for each of 250k transactions that are processed, the database is queried to obtain a customer id, department id, and category before the transaction is inserted.
So now I'm trying to optimize the code as it was only processing around 15 transactions a second. I removed some extraneous queries and added some indexes and got it up to 30/sec. I then figured that even though everyone says a DataContext is lightweight, it's got to cost something to create a new one 4 times per transaction, so I tried reusing the DataContext. I found, much to my surprise, that reusing the context caused performance to degrade to 10 transactions a second!
Why would this be the case? Is it because the DataContext caches the entities in memory and first searches through its in-memory list before querying the database? So that if, for example, I'm looking for the customer id (primary key) for the customer with name 'MCS' and the customer name column has a clustered index on it so that the database query is fast, the in-memory lookup will be slower?
And is it true that creating/disposing so many db connections could slow things down, or is this just another premature optimization? And if it is true, is there a way to reuse a DataContext but have it perform an actual database query for each linq-to-sql query?