What data type should I use as a buffer?

If your use-case mostly requires some "conversion" to std::string, then it may be a good idea to simply use std::string. The most obvious difference between using std::string as a character buffer vs std::vector<char> is that the former is permitted to do some magic Short String Optimization (depends on library vendor). While the latter isn't permitted to do so. Your Mileage May Vary.

If I was to use vector<char> instead, I would firstly need to convert it to a string (or maybe there is another way?)

Yes you would have to do a std::vector<char> to std::string "conversion" like this:

std::string query = "INSERT INTO messages (message) VALUES (\"" + std::string(buffer.begin(), buffer.end()) + "\")";

With some work, you can avoid creating temporaries (and multiple memory allocations) resulting from both buffer "conversion" and concatenation using std::string::operator +.

std::string build_query(const char* left_string, std::size_t left_string_size,
                        const std::vector<char>& buffer,
                        const char* right_string, std::size_t right_string_size)
{
    std::string query;
    query.reserve(left_string_size + buffer.size() + right_string_size + 1);
    query.append(left_string);
    query.append(buffer.begin(), buffer.end());
    query.append(right_string);
    return query;
}

And use like:

std::vector<char> buffer(24);

constexpr char left[] = "INSERT INTO messages (message) VALUES (\"";
constexpr char right[] = "\")";
std::string query = build_query( left, len(left), buffer, right, len(right) );

See a full example here: Live On Coliru

On the long run, you could go further and write some neat template helpers to cover more general cases of building up query string from std::vector<char>.

As for performance, you will have to measure. Though, while not a valid measure of performance, GCC and Clang actually emits fewer assembly instructions for build_query than the regular "conversion".