You should start with a profiler. Having said that, there is one easy optimization you can make without a lot of code changes.

Change the following line in *LoadSpriteSheets* from  
    `List<SpriteSheet> sheets = new List<SpriteSheet>();`  
to  
    `List<SpriteSheet> sheets = new List<SpriteSheet>(tmxMap.Tilesets.Count);`

The amount of elements in the list is known in advance so you can avoid the cost of repeatedly resizing the container.