Indexes are really just abbreviated versions of the original table which are sorted and optimized.
So yes, it can take a long time.
"i just have lots of fields in WHERE part and as far as i know i need indexes for these fields."
That depends on which columntypes you use, and how you compare them.
Some queries will not use indexes at all, like:
SELECT * FROM tabel WHERE column LIKE '%something%';
Also not that the more indexes you have, the slowe your updates andinserts will be.
do NOT create indexes on every column you use in the WHERE, because then mysql will spend all it's time loading many indexes.