Actually it is very efficient, since ADO.NET makes use of the Connection Pool
which is specifically designed to cache connection objects (up to 100 by
default) and provide them on demand. So, best-practices coding dictates that
you should create and open a new Connection object just before you do your
database work, and then close it and allow it to return to the pool
immediately afterward.

in C#, the using (                 ) {             }  statement construct
ensures that Close or Dispose is called automatically once the closing brace
is reached, even if an exception is thrown.
-- Peter
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Yes it is - it is *by far* the most efficient way you can do it.

This is one of the worst things you can do in ASP.NET in terms of
performance and scalability.

ADO.NET brings you connection pooling, so you should create your connection
at the very last moment and destroy it as soon as you no longer need it.