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Is there a way which I can have MySQL record its queries and their Explain so that I can figure out how to index the expensive stuff? I'm new to this stuff. Thank you.

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Try looking at maatkit. Particularly mk-query-digest. http://www.maatkit.org/doc/mk-query-digest.html

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There is also pt-query-digest. +1 nonetheless. –  RolandoMySQLDBA Mar 20 '13 at 16:40
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First use log-queries-not-using-indexes Then use explain on them to see possible indexes

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