I can tell you that using transactions depends on the business rules.
Technically, you may use transactions only if you are modifying data (Update, Delete, Insert) on the systems. When you are just getting values from a source and you are 100% sure that no data gets modified/produced, then don't include this step as part of your transaction.
To keep it simple, use transactions if you answer yes to any of these scenarios:
a) Affect more than one table in your click.
b) Affect more than one system in your click. This includes databases located in different servers, even if you have two different instances in the same server it counts as a different system. Web service calls count as another system as well.
c) Have an scenario like: "perform step a, perform step b, if everything OK then return OK else revert step b, revert step a then return error".
Now how to use transactions in real world. Well, if you are using only one database in your model then use the ADO.NET transaction model.
http://adotutorial.blogspot.de/2008/11/transaction-management-in-adonet.html
If you however, are calling different instances of databases in the same server, or if you you are mixing different technologies (SQL, Oracle, Web Services), transaction management will be 1000 times more painful. Then you need to use transaction scope make it a little bit simpler. In C# in .NET 2.0 you have TransactionScope. This is the way that you can tell the run-time to help us manage transactions.
Check this tutorial, it may help.
http://codingcramp.blogspot.de/2009/06/how-to-setup-and-use-transactionscope.html
If you are using microsoft technologies and if you are working on the same computer, then your code wil run fine. However, if you are running in a networked environment, or if you are mixing different vendors, then another key component enter in the play it is called a "Transaction Monitor". If that is your case then you may need to check if Microsoft DTC is enabled in your environment as it will be the default choice used for coordinating your transactions.