[SQL] What Columns Should I Index to Improve Performance in SQL

On my query I have a temp table of keys that will be joined to multiple tables later on. I want to create an index on my temp table to improve performance, cause it takes a couple of minutes for my query to run.

SELECT DISTINCT k.Id, k.Name, a.Address, a.City, a.State, a.Zip, p.Phone, p.Fax, ...
FROM #tempKeys k
INNER JOIN dbo.Address a
ON a.AddrId = k.AddrId
INNER JOIN dbo.Phone p
ON p.PhoneId = a.PhoneId
...


My question is should I create an index for each column that is being joined to a table separately

CREATE NONCLUSTERED INDEX ... (Addr.Id ASC)
CREATE NONCLUSTERED INDEX ... (PhoneId ASC)


or can I create one index that includes all columns being joined

CREATE NONCLUSTERED INDEX ... (Addr.Id ASC, PhoneId ASC)


Also, are there other ways I can improve performance on this scenario?

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