Start off by saying I dont think this is what you need to focus on for this scenario. The amount of data does not seem to be an issue here, so I would focus on somewhere else.
To answer some of your questiosn. Yes, parallel loading can improve performance, but typically in instances where the data (row count) is a lot larger. You do need to be aware of the memory foot print though, as you dont want to kill the server with all the data in memory.
If you were running this mutiple times and quite frequently, I would say that then you need to focus on this.
As always, don't optimize until it becomes an issue.
It is more important to write code that is understandable and maintainable. Some months down the line you are going to thank your stars when you need to revist this code.
Also, what have you tried?
Have you done any benchmark testing? Write a small app and loop both cases several times (hundreds or even thousands) and measure the time it takes. Use a Stopwatch and see what the time differences are.