To change the app.config connectionstrings at runtime you can use the following code:

var config = ConfigurationManager.OpenExeConfiguration(ConfigurationUserLevel.None);
var connectionStringSettings = new ConnectionStringSettings("ConnectionString", _arguments["connectionString"],  "System.Data.SqlClient");
config.ConnectionStrings.ConnectionStrings.Add(connectionStringSettings);
config.Save(ConfigurationSaveMode.Modified);
ConfigurationManager.RefreshSection("connectionStrings");

with thx to Johlero for the R&D.