Having come up against the same problem, it depends on your needs. If you need the ORM features like validation, use the ORM.
If you want pure speed, write a raw bulk insert or load a file directly into a table.
Worth a mention is that in my specific case, turning off validation and atomic inserts I got a speed boost good enough for my needs. I would pass in 500 lines of data, and save each entity in a for loop, and wrapped the entire loop in a transaction (using the begin and commit methods on the Datasource itself)