I've always thought that you should write your code for readability first because the compiler and CLR do an exceptional job at optimisation. If you find that through benchmarking, that this code could be executed more quickly, then have a look at other options by all means.
E.g. for loops are quicker than foreach(), as they use array offsets which are internally optimised in the CLR.
But doesn't a List.ForEach () surely does a foreach ( ) anyway, so you are just giving the work to another method, rather than doing it yourself.
Strictly speaking, introducing more method calls will actually slow your code down on the first pass, because the CLR will JIT-compile methods as they are called, although subsequent calls to the method will not.
So my advice would be stick to writing readable code, then go from there if you can prove that this is a bottleneck of the system.