Insert all data of a datagridview to database at once

I think the best way is by using TableAdapters rather than using Commands objects, its Update method sends all changes mades (Updates,Inserts and Deletes) inside a Dataset or DataTable straight TO the database. Usually when using a DataGridView you bind to a BindingSource which lets you interact with a DataSource such as Datatables or Datasets.

If you work like this, then on your bounded DataGridView you can just do:

this.customersBindingSource.EndEdit();
this.myTableAdapter.Update(this.myDataSet.Customers);

The 'customersBindingSource' is the DataSource of the DataGridView.

The adapter's Update method will update a single data table and execute the correct command (INSERT, UPDATE, or DELETE) based on the RowState of each data row in the table.

From: https://msdn.microsoft.com/en-us/library/ms171933.aspx

So any changes made inside the DatagridView will be reflected on the Database when using the Update method.

More about TableAdapters: https://msdn.microsoft.com/en-us/library/bz9tthwx.aspx

If you move your for loop, you won't have to make multiple connections. Just a quick edit to your code block (by no means completely correct):

string StrQuery;
try
{
    using (SqlConnection conn = new SqlConnection(ConnString))
    {
        using (SqlCommand comm = new SqlCommand())
        {
            comm.Connection = conn;
            conn.Open();
            for(int i=0; i< dataGridView1.Rows.Count;i++)
            {
                StrQuery= @"INSERT INTO tableName VALUES (" 
                    + dataGridView1.Rows[i].Cells["ColumnName"].Text+", " 
                    + dataGridView1.Rows[i].Cells["ColumnName"].Text+");";
                comm.CommandText = StrQuery;
                comm.ExecuteNonQuery();
            }
        }
    }
}

As to executing multiple SQL commands at once, please look at this link: Multiple statements in single SqlCommand

Please see if below can help you

Class Post_Sales

Public Shared Sub Post_sales()

    Dim ITM_ID As Integer

    Dim SLS_QTY As Integer

    Dim SLS_PRC As Double

    Dim SLS_AMT As Double

    Dim DSPL_RCT As String

    Dim TAX_CODE As Integer


    'Format the current  date and send it to a textbox
    Form1.TextBox6.Text = System.DateTime.Now.ToString((" yyyy-MM-dd"))

    'Open Connection

    Dim con As New SqlConnection("Initial Catalog=Your Database here;Data source=.;Network Library=DBMSSOCN;User ID=sa;Password=")

    con.Open()

    'Insert Records into the database


    For Each rw As DataGridViewRow In Form1.DataGridView1.Rows

        ITM_ID = rw.Cells("Column1").Value
        DSPL_RCT = rw.Cells("Column2").Value
        SLS_QTY = rw.Cells("Column3").Value
        SLS_PRC = rw.Cells("Column4").Value
        SLS_AMT = rw.Cells("Column5").Value
        TAX_CODE = rw.Cells("Column6").Value

        Dim cmd As New SqlCommand("INSERT INTO DAY_PLUSALES (DT,ITM_ID,DSPL_RCT,SLS_QTY,SLS_PRC,SLS_AMT,TAX_CODE) values ('" & Form1.TextBox6.Text & "','" & ITM_ID & "','" & DSPL_RCT & "','" & SLS_QTY & "','" & SLS_PRC & "','" & SLS_AMT & "','" & TAX_CODE & "')", con)

        cmd.ExecuteNonQuery()

    Next

    con.Close()

    MessageBox.Show("Records Added to the SQL Database successfully!", "Records Updated ")

End Sub

End Class