Wich Is Faster? In Relation To These Two Business Object Scenarios

I kow for a solid comparison between using datareaders and datasets I will have to perform that myself.  But for now I will be utilizing datasets...

What I am doing is currently utilizing assemblies to create my datasets ahead of time.  I will eventually compile them as dlls.  I'm just utilizing assemblies during my building/testing fase.

My questions is:

Is it faster to completely build the datasets and all needed connections inside the assemblies/dlls and fill them?  Or to build the datasets and connections as a sub procedure that can be accessed and then fill them as each required set of data is needed?

I ask because I will be having many different data connections and so I'm not sure if it's faster to explicitly build/fill almost each and every one and have them compiled at runtime ready to be accessed, or to file them when called from a sub etc...?

As I take it, the server should track and monitor which are used the most, and cache them, so as to operate faster.  I wonder if it will still do this if the datasets aren't pre-filled?