Can "order by" clause use index to increase performance of search?

Available indexes for ORDER BY clause 

If you want to speed up a "live" SELECT from a single table with ORDER BY clause, you can create a compound index for ORDER BY fields. 
For example if you would like to increase the speed of the query: 

SELECT * FROM Employee ORDER BY LastName, FirstName 


you can do it by creating the following compound index: 

ABSTable1.AddIndex('idxLastNameFirstName', 'LastName;FirstName', []);