SQL injection can be a tricky problem but there are ways around it. Your risk is reduced your risk simply by using an ORM like Linq2Entities, Linq2SQL, NHibrenate. However you can have SQL injection problems even with them.
The main thing with SQL injection is user controlled input (as is with XSS). In the most simple example if you have a login form (I hope you never have one that just does this) that takes a username and password.
SELECT * FROM Users WHERE Username = '" + username + "' AND password = '" + password + "'"
If a user were to input the following for the username Admin' -- the SQL Statement would look like this when executing against the database.
SELECT * FROM Users WHERE Username = 'Admin' --' AND password = ''
In this simple case using a paramaterized query (which is what an ORM does) would remove your risk. You also have a the issue of a lesser known SQL injection attack vector and that's with stored procedures. In this case even if you use a paramaterized query or an ORM you would still have a SQL injection problem. Stored procedures can contain execute commands, and those commands themselves may be suceptable to SQL injection attacks.
CREATE PROCEDURE SP_GetLogin @username varchar(100), @password varchar(100) AS
DECLARE @sql nvarchar(4000)
SELECT @sql = ' SELECT * FROM users' +
' FROM Product Where username = ''' + @username + ''' AND password = '''+@password+''''
EXECUTE sp_executesql @sql
So this example would have the same SQL injection problem as the previous one even if you use paramaterized queries or an ORM. And although the example seems silly you'd be surprised as to how often something like this is written.
My recommendations would be to use an ORM to immediately reduce your chances of having a SQL injection problem, and then learn to spot code and stored procedures which can have the problem and work to fix them. I don't recommend using ADO.NET (SqlClient, SqlCommand etc...) directly unless you have to, not because it's somehow not safe to use it with parameters but because it's that much easier to get lazy and just start writing a SQL query using strings and just ignoring the parameters. ORMS do a great job of forcing you to use parameters because it's just what they do.
Next Visit the OWASP site on SQL injection https://www.owasp.org/index.php/SQL_Injection and use the SQL injection cheat sheet to make sure you can spot and take out any issues that will arise in your code. https://www.owasp.org/index.php/SQL_Injection_Prevention_Cheat_Sheet finally I would say put in place a good code review between you and other developers at your company where you can review each others code for things like SQL injection and XSS. A lot of times programmers miss this stuff because they're trying to rush out some feature and don't spend too much time on reviewing their code.