Should I add an index for all fields in the WHERE clause? - MySQL

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In my program I have very few inserts, and any which are run frequently are not needed instantly and therefore have been changed to INSERT DELAYED. Should I go through my code and see which fields are referenced in the WHERE clause and add an index for each of them? If so what type of index do I use? Is it just inserts that are slowed down?

Also can I use these indexes on any data type?

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