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Create a new connection for each request?

Note. I used google translator to write this

I always did the following for working with MySQL:

-> Open Connection to the database.
-> see details
-> Insert Data
-> another query
-> close Connection

I usually use the same connection to do different things before closing. A friend who studies this on Mexico's IPN told me that the right way (for security) is to create a new connection for each request, for example:

-> Open Connection to the database.
-> see details
-> close Connection
-> Open Connection to the database.
-> Insert Data
-> close Connection
-> Open Connection to the database.
-> another query
-> close Connection

My question is: what to do right? My method was to make the minimum number of database queries and only establish a connection and keep it until it no longer serves me.

Also, is it possible to do double insertion into a table? For instance:

insert into table1(relacion) values([insert into tablaRelacionada(id) values("dato")]);

and that "relacion" is the inserted identifier from the first request in "tablaRelacionada".

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$dbh->query("INSERT tablaRelacionada(id) values('dato')");
$lastid = $dbh->lastInsertId();
$dbh->query("INSERT INTO table1(relacion) values($lastid);");

, tablaRelacionada AUTO_INCREMENT, .

: lastInsertId()

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