Will SQLCLR yield?

First, let's check out SQL Server 2005 BOL on the CLR hosting architecture.

Then, check out this 2 interesting posts from Steven Hemingray
on his little experiments to see whether the SQL Server scheduler can effectively detect runaway threads, and suspend these threads?

One of the key insights from the little experiments is that

"cooperative clr code that explicitly yields during long-running computations outperforms clr code that gets forcibly rescheduled"

Check out
How to tell if your code should be yielding?

on useful statistics that you can obtain by querying the sys.dm_* tables.

Very useful sets of posts if you are working on code using the SQLCLR, and you need to do some performance tuning.