Using MKL Library in C#

Hello, I am working on a project where the ultimate aim is to use the MKL library to perform a large number of matrix operations. Would it be more optimal for me to somehow try to import the necessary functions from the MKL library into C# directly or create my own custom DLL in C++ (using functions from the MKL library) and import that DLL into C#? Is there a time or efficiency gain in using either method?

Thanks