The other rule is choose your data structures wisely.

The number of people who don't understand when to use a list/array VS dictionary/hash table vs lookup object is too damn high. A huge amount of basic optimization is constantly at their fingertips and they nearly always choose to make a list/array and use linq to join/merge multiple relational data sets instead of optimized standard objects.

sure, sometimes your approach is at fault, but as the rule says, sometimes it's just a surprising bottleneck. Having done a lot of embedded work, I've found that many of those can often be fixed in a straightforward manner. Sometimes, you have to change your approach though.