IANAP,
But I believe I remember talking with Ritesh about similar UI issues and I THINK I remember him talking about the next major version would be multi-threaded. This would solve the problem of the UI being unresponsive.
However, in the short term, use a where clause to limit the number of records in your result set. (1k records is a huge result set for SQL) This will solve your problem with the sorting because it will take fewer resources to process. An extreme solution would be to add more RAM as SQLYog is obviously having to swap to disk a lot.
Finally, use an order by clause on your query and let the server do all the work. This is by far the best answer.
HTH,
=C=