I believe when I create an identity column it gets indexed automatically, but I\'m not 100% sure.
Should I create an index for an identity
If you create a column with a PRIMARY KEY constraint, a clustered index will be created by default (assuming this is a new table and no such index is already defined).
Being an IDENTITY field has nothing to do with it.
So, to answer you question - if you are going to query/sort with this field and it is not a primary key, you should define an index on it (rule of thumb, always test for your scenario).