From my point of view:
try
{
using (SqlConnection connection = CreateSqlConnection(connString))
{
using (SqlCommand command = CreateSqlCommand()
{
//open connection + execute command + do something else
}
}
}
catch
{
//do something
}
Above is the correct way.
Because , with this approach if there is exception with connection to database, that will get caught inside catch block.. But with first approach, it will not.