Of course you can use one db connection for whole life of application. Use Singleton pattern. If your program work long and do not use database for a longer time it may loose db connection (some kind of timeout on network equipment etc.). For such cases you can use db pool. Such pool should manage longer time of inactivity or give you separate db connections for separate threads.
I think your solution with converting data into XML is not good. Why do you want to convert it into XML? How often is this data changed? How big is the database you want to copy? How do you want to synchronize your local copy with database? I think that local copy in XML files adds too many problems. If data is small than maybe you can read it at start of your program, save it in some data structures and use to verify other data? It can even be SQLite or other small database. But I would go this way only if singleton or db pool performance is really weak.