This is really going to depend on how much data you are working with and what you want to accomplish.
If there isn't a lot of data, you can do things the really quick and dirty way and read the entire set into memory via a DataSet, then simply insert record by record into SQL Server. That will work as long as you don't have a massive amount of data to move.
Now, if you have more data, you can go a bit more streamlined to avoid the "in memory" hit and do things using a DataReaders and only read in line by line, a bit more code, but not all that much, maybe 20-30 lines.
Now, depending on your needs, SQL Server Edition, etc you could also use SSIS to pull it in and not write any code. This is a post that shows some about the performance of this process.