Mapping uses foreign keys to manage relationship such as oneToOne, MantyToOne, ... By default this keys are not indexed. It may result in some performance issues.

Is it possible to automatically create those indexes ?

As far as I know, RDBMS need an index to manage a FK. MySQL manual recommends users to create te index themselves, but if they don't it is created automatically. I believe this is valid for all DBs. If you're letting Hibernate create your tables, you could add the annotation @org.hibernate.annotations.Index. This is not in the standard EJB 3 API, I believe, because indexes are an exclusivity of relational databases; but you could have an object-oriented database or serialization (like with Prevayler) as the persistence engine. I think it wouldn't hurt to add an 'indexed' or 'indexName' attribute to @Column anyway, would it?

If we need to add these indexes manually the risk is to forgot some of them. We previously used a JDO implmentation that add automatically these indexes. It was a nice feature.
In ODBMS there is index too.