Splunk DB Connect: where exactly does the indexed data get stored

I would like to use Splunk DB Connect to get MySQL data into Splunk. i want the data to go into indexes on our indexers. So I install the drivers and DB Connect add on on our search head. The part I am not clear on is how to get the data to our indexers not an index on the search head. If I run a test query on the search head to pull from MySQL -> Splunk index will that cause the data to get stored on one of the search peers (indexers) or how does that work exactly?