I think you'll find few of us recommend the use of the Lookup Wizard. Lookup
fields only have a place in tables, and your users should never be working
directly with the tables. Create a form, and use a combo box on the form.
(See http://www.mvps.org/access/lookupfields.htm at "The Access Web" for
some of the other reasons why).

As to your question, if the data already exists in a table, you don't want
to store it redundantly in another table. Whether or not the query would be
inefficient shouldn't be an issue: having the data stored redundantly can
lead to all sorts of problems.