Usage of index in "ORDER BY" operations

I notice following behaviour:

I have a table "adress" with 100'000 adresses 
with columns (last_name, first_name, adressline1, etc.)
and an index last_name_idx on the column "last_name".

The query
"SELECT * FROM adress ORDER BY last_name LIMIT 20 OFFSET 0;"

takes forever and "EXPLAIN" shows that the index on last_name 
is not being used.

On the other hand 

"SELECT * FROM adress WHERE last_name > '' ORDER BY last_name LIMIT 20 OFFSET 0;"

returns the result immediately and "EXPLAIN" shows that the index on
last_name is being used.

So it seems that inserting a WHERE-clause, even if it doesn't do 
anything at all (i.e. doesn't reduce the result-set), 
is necessary to force the DB to make use of the index.

It even says in the FAQ under 4.9) 
"Indexes are not used for ORDER BY operations."

So I was wondering: 
Am I doing something wrong here or is the lesson simply: 
"Include all attributes of an index in a where-clause
if you want the indexes to be used"?

Is there a better way to tell the DB to make use of the index?

BTW: This seems to be true for indexes on multiple columns, i.e.
if having an index on (last_name, first_name) the query had to be:
SELECT * FROM adress WHERE last_name >'' AND first_name >'' 
ORDER BY last_name, first_name LIMIT 20 OFFSET 0;
Omitting the where-clause again leads to a very slow query.

I apologize if this has been discussed many times before ...

Thanks for your help.
Matt