If we attach data source for our scripts as SQl , so during the loadtest from agent how will the script connect to database? and wont the time spend in disk I/O?
NeoLoad will connect to the database before starting the actual test.
So every time it requires data during the run it will fetch data from database?
No, it only fetches data at the beginning of the test.
Also for your information, you can see the result of your SQL request <your project folder>\SqlTemp folder.
Like Patrick said, the SQL request is fetched during the initialization phase of your test.