As a general consideration, indexes are _more important_ if you have a large table. On benefit of using a database is efficient sorting, in fact, no query should ever go live without an 'order by' clause. So, you need indexes.
As far as efficiency in building the index: most import scripts will disable the index while data is loaded, then add the index. So it is more efficient to index after all the data is loaded.
As a positive note: if you can bring your live site to its knees with this type of operation, that is a good thing. Most sites suffer with a lack of success. Oh, and obviously, Oracle would breeze through this process with no problem.
