How to store the real time data efficiently into database in c# .NET 4.0

Question

Hi all,
I am developing a windows application using c# where I am getting the real time data from the server ,the maximum number of data for a particular item in one second will be 65 data and there may be chances of more thousand items .

So , what I need is the data for all the items should be logged into database without any loss of data which the server gives.

There is a datatable for each item to store its own data ,there is no problem in my application till the data stores into the datatable and I want to use threading efficiently to store these data from datatable into database(My SQL and Ms SQL) table.

Please anyone help me in doing this efficiently without any performance issues like CPU usage,Memory leaks etc...