When I add new item into the list, I have to insert the items into the SQL database. How can I do it? Any clue is good for me.
Out of the head here, but can`t this be done if you add a database as a Data Source and set the Create All Operations on Table in BDC to work with the Database?
See also this tutorial.
Here is another tutorial explaining in detail how to connect to a Database. It should be pretty straightforward with this.