Conclusion

Using ORDER BY is not per se slower than querying the data without ORDER BY. In any case, if you need to retrieve the data in a particular order, using ORDER BY is the right solution – but the indexes need to be properly created. Especially take care that the index is actually used in your particular query, by examining the execution plan. In no case it makes sense to do the sorting in your application logic – certainly you do not want to sort mass data in your application!