Which one is better practice in winform application?

Open it each time: there are two simple reasons.
1) SQL connections are scarce resources - you shouldn't "hang onto them" any longer than you need to.
2) Some parts of SQL - such as a DataReader - need to be closed before any other action can continue on the same connection: if you rely on a single connection object, this can really mess up your code if you don't automatically close and Dispose of SqlCommand and suchlike objects, or if you call a method from within a DataReader loop.

The best practice is to create the connection (and all other SQL related objects) within a using block so they are automatically closed and Disposed when they go out of scope:

using (SqlConnection con = new SqlConnection(strConnect))
    {
    con.Open();
    using (SqlCommand cmd = new SqlCommand("SELECT Id, description FROM myTable", con))
        {
        using (SqlDataReader reader = cmd.ExecuteReader())
            {
            while (reader.Read())
                {
                int id = (int) reader["Id"];
                string desc = (string) reader["description"];
                Console.WriteLine("ID: {0}\n    {1}", id, desc);
                }
            }
        }
    }