We have all been there.
Ignition is great at connecting to and getting information from DB's of many different flavors. It's one of the many attractions of the platform, but it is by no means a Database management system.
You should absolutely get in the habit of setting up tables with proper indexing. Start now and you'll thank yourself for it later. Inevitably, your "few thousand items" will quickly turn into several thousand rows of data.
There are several posts around the forum that deal with DB architecture. Here is one such: