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Writing Resultset to File - best way?

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Need a high-level opinion.
In writing a resultset to file (through JDBC connection), is it more efficient to write straight to file while looping through the resultset? Or better to put the resultset into a util collection (such as an ArrayList) and then close the JDBC connection before writing the collection to file?
Pros and cons, anyone?
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I am not an expert, but this is what I learnt in the past 2 weeks, which I think might help you a little bit.
When you get the resultSet from a database, there is a default FetchSize. Everytime you do ResultSet.next(), it will first check whether there are records already fetched. If not, it will connect to the database again and fetch some records(FetchSize amount) and then let you go through them until there is no more records left. So it will be a big problem if your resultset is huge.
My suggestion is use CachedRowSet instead. It will save the entire ResultSet in the cache, and then the database connection closed. Then you can use CachedRowSet.next() and other methods to retrive it and do whatever to it, just like what you would do with the ResultSet. This one should be very fast. However, there is also problem with this one. If your ResultSet is really huge, you may get OutOfMemory Error. If that is the case, you may want to look at the JDBCRowSet or WebRowSet. You can check all three of them out at the java.sun.com tutorials. Here is the link:
Again, these are what I learnt in past 2 weeks. I am trying it, and ran into some problems. I posted my program and some running results too. The topic is "Please help me with CachedRowSet preformance!" If you interested, you can check it out. Hope someone will help me with it, and maybe it will solve your problem at the mean time.
Don't get me started about those stupid light bulbs.
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