.NET:Loading all records available into a DataSet

Hi,
Is it advisable to load all the Currently available records into a DataSet and use this dataSet to create a collection of Custom Business objects.A third party will be updating the tables that are used to fill this DataSet.Since we wanted the latest info to be presented to the web user we came up with this idea.This DataSet is used locally within a method and it is destroyed as soon as it goes out of scope. Any advice is greatly appreciated.

thanks
Prabhakar