How to save save high frame rate camera images with live preview

I have two high speed USB3 cameras (Ximea) and want to code an application for image recording. Framerates are up to 500fps at VGA resolution but I also want to use the 2Mpx resolution at 170fps. Their .Net SDK tells me that I should simply "get" the images in a loop. My problem is that I have no idea how to get the images and save them while still showing a live preview. Everytime I add some code to actually update the picturebox the frame rate drops drastically.

At the moment I utilize a recording function that is called with

Task.Run(() => Record());

and inside the Record() I have a loop getting the bitmaps

while(record == true)
{
    Camera.GetImage(out myImage, timeout); //From Ximea .Net SDK
    Info = Camera.GetLastImageParams();
    Timestamp = Info.GetTimeStamp();
    ThreadPool.QueueUserWorkItem(state => SaveImage(myImage, filepath, Timestamp));
}

with the SaveImage being

private void SaveImage(Bitmap myImage, string filepath, double Timestamp)
{
    try
    {
        lock(myImage)
        {
             myImage.Save(filepath + Timestamp.ToString("0.00000") + ".tif");
        }
    }
    catch{}
}

How can I show a live preview while recording and how can I make the entire code more stable (at the moment there are some dropped frames because of "object already in use"-errors or "generic error in GDI+" at the Image.Save() call, that I skip with the try/catch statement)?