No, you should not save every file as JPG before placing it in INDesign. JPG is only usefull for raster images (like photos) without any transparency in high quality.
When you place images use:
- For raster images from Photoshop psd (rgb with color profile)
- For raster images from Photoshop with form layers, texts or any vector element use PDF (or PDP) with layers.
- For vector graphics from Illustrator use AI files or PDF.
- For layouts from other InDesign projects use either the INDD itsself or export a PDF/X4.
But to the printer deliver a PDF according to their standards. E.g. when they need CMYK files export as PDF/X1a with the required output color space and the resolution they want. Produce the pdf via Export (Print).
Don't deliver open INDD. File size should for printing projects not be an issue.
I used to work in a large format output service. It's perfectly normal to build your file at some easy-to-use percentage of the finished size (essential, in fact, after you get over the maiximum dimensions for PDF or .indd), such as one-half or one-quarter scale, and let the printer scale it up on output. Just be sure you ask the printer what the resoultion of your raster images should be at print size and make sure they have enough resolution at the size you create your file to maintain the target resolution after scaling.