That is a way how to do it. 15,000 and then maybe even large images dimensionwise exceed the power of any normal server. It also depends what kind of server you have, shared, dedicated or your real own. I would suggest not to upload that much images all at once but one after another.
Again, just so it is clear this is not a limitation of Zenphoto but of the server. That is one reason why Zenphoto does create the cache file when needed and not prelimary.