Cascading dropdown lists - Is this efficient?

 Hi, I have about 3 dropdownlists, the values in the lower dropdownlists are dependant on the choice selection of the higher ups. I don't really want to extending the AJAX control toolkit's cascading dropdownlist as I find it a hassle to create a web service just for this. So what I have done is to make an SQL query to the database everytime an item is selected in the dropdownlist to populate the lower dropdownlists, but is this efficient? - Making calls to the database each time an item is selected?
 Here's an example of what I did:
 
protected void Category_SelectedIndexChanged(object sender, EventArgs e)
{
LoadSubCategory(int.Parse(Category.SelectedValue));
}  And the SQL command in the LoadSubCategory method:
 
command.CommandText = "SELECT Su ...