This has nothing to do with Entity Framework. You must insert one row at a time in SQL, that's the way SQL works. Each insert is a separate statement. There is no way (outside of special bulk-insert methods, which would be pointless for 20 records) of doing it differently.
Now, yes, you can insert those 20 records in one request, which is what EF will do.
I don't understand you comment "As I'm using EF, I'm a little concerned about performance". EF is no worse performing than anything else in this respect. It's a simple 20 record insert, there's nothing special here or any complexity that could cause performance issues.