As far as speed goes, if you are not writing a lot of data, it might be difficult to see any difference. However, using the INSERT INTO bulk update is "atomic" in the sense that SQL will treat it as a single transaction rather than that loop across all audit-tagged controls, which is however many controls are tagged. The overhead of a single transaction is always less than the overhead of multiple transactions.
On the other hand, if there is no obvious speed difference, then the problem may be in the speed of your network or the speed of SharePoint or even the physical speed of the disk device to which you are writing (though honestly, I doubt that one.) For the speed of SharePoint, I defer to the Gent. At my shop before I retired, we were just beginning to activate some SharePoint apps so I didn't get to play with them.