As a beginning...
First you should read this: http://www.microsoft.com/technet/prodtechnol/sql/2005/tsprfprb.mspx
To be sure you do not have any bottle neck in your system.
Then i'll start with SQL profiler, for example, with querys than lasts more than 10 seconds (depends on your server)
On perfmon, ill keep track of these counters:
Network Interface(*)\Output Queue Length
PhysicalDisk(*)\% Disk Time
PhysicalDisk(*)\Avg. Disk Queue Length
PhysicalDisk(*)\Avg. Disk sec/Read
PhysicalDisk(*)\Avg. Disk sec/Write
Processor(_Total)\% Processor Time
SQLServer:Buffer Manager\Buffer cache hit ratio
SQLServer:Buffer Manager\Checkpoint pages/sec
SQLServer:Buffer Manager\Lazy writes/sec
SQLServer:Buffer Manager\Page life expectancy
SQLServer:Cursor Manager by Type(_Total)\Cursor Requests/sec
SQLServer:SQL Statistics\Batch Requests/sec
SQLServer:SQL Statistics\SQL Compilations/sec
SQLServer:SQL Statistics\SQL Re-Compilations/sec
Then keep track of current index usage with the dmv dm_db_index_usage_stats and prepare your own indexes taking a orientative look on dm_db_missing_index_group_stats.
Take your time as SQL Server Index Tuning Advisor checks each query separately for the whole workload, and usually recommends indexes you should mix to get one useful for many querys.