If you look in inc_create_forum_SQL.asp, you will see a large section containing the create statements for the existing indexes, so obviously you do not need to index these fields. (they are mainly the ID fields), but anything else you use in a where clause in query that is executed many times will benefit from an index. As long as you don't end up indexing all the fields.
On a side note, a good way of checking is to paste your wuery into query analyzer, it will tell you the number os steps it performed to get the result set, large numbers of steps geberaly indicates you need an index.