I have defined Primary Key, Unique Key and Foreign Key Constraints and I know I want to have indexes for them. Do I really need to go and define them one by one in Data Modeler? Not necessarily.

Go to Design Properties (double-click the name of the design or right-click and select Properties). Enable all or those you want from Automatic Index Generation.

Now when you generate the DDLs, the DDLs for generating these indexes will be generated automatically.

How are those automatically generated indexes called? You can define that also in Design Properties as the template for Automatic Index.