The WordPress database is already indexed. See this codex article for a detailed list of indexes per table: http://codex.wordpress.org/Database_Description
And even if it weren’t, you’d need to know what queries are being run in order to effectively add indexes. Meaning, there would be no quick fix–you’d have to learn how indexing works, figure out what queries are performing poorly, and go from there.
If you really do have slow query issues, it most likely has to do with a poorly written plugin or theme file you’re using. Try disabling all plugins and switching to the default theme, to see how it affects performance. If your site is still too taxing for your shared host (with a default theme and no plugins running), you need to move hosts.
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