Most Efficient Way to Create an Index in Postgres
Your observation is correct - it is much more efficient to load data first and only then create index. Reason for this is that index updates during insert are expensive. If you create index after all data is there, it is much faster.
It goes even further - if you need to import large amount of data into existing indexed table, it is often more efficient to drop existing index first, import the data, and then re-create index again.
One downside of creating index after importing is that table must be locked, and that may take long time (it will not be locked in opposite scenario). But, in PostgreSQL 8.2 and later, you can use CREATE INDEX CONCURRENTLY, which does not lock table during indexing (with some caveats).