Dim Cola As List(Of Integer) = New List(Of Integer)()

Sub Main()

    Dim theThread As New Threading.Thread(AddressOf Hilo)
    theThread.Start()

    While True
        Console.Write("Numero:")
        Dim Value = Console.ReadLine()
        Cola.Add(Convert.ToInt32(Value))

        Console.WriteLine()
    End While

End Sub

Public Sub Hilo()

    Dim myConn = New SqlConnection("Data Source=LAPTOP-90HC7AEXSQLEXPRESS;Network Library=DBMSSOCN;Initial Catalog=TRAINING3;User ID=sa;Password=js;")
    myConn.Open()

    Dim myCmd = myConn.CreateCommand
    myCmd.CommandText = "insert into Prueba(Entero)  values(@Numero)"

    While True

        SyncLock Cola

            Dim ToRemove As List(Of Integer) = New List(Of Integer)()
            For Each Value In Cola
                myCmd.Parameters.Clear()
                myCmd.Parameters.AddWithValue("@Numero", Value)
                myCmd.ExecuteNonQuery()
                ToRemove.Add(Value)
            Next

            For Each Value In ToRemove
                Cola.Remove(Value)
            Next

        End SyncLock

    End While
End Sub