You are correct, the entire idea with that is to have your data sent to Splunk for indexing.
Usually you get data to spunk either using the Universal Forwarder, syslog (514) or monitoring remote directories.
I have had one case where I did have a script copy data to another partition on my spunk server to be indexed, but it was a very small amount of data that was being moved and indexed due to some restrictions on our network.
Also, from experience be careful with running spunk on Virtual machines, your index and search performance will vary depending on the amount of data being ingested per minute and as your data set starts to grow.
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