I imagine that a wired connection of some kind would be faster than wireless. Even so, there are different ways I could connect the two Macs. What type of connection (USB to USB, Ethernet to Ethernet, etc.) would be the fastest possible?
Thunderbolt by itself won't work since the MacBook can only do USB 3 speed (5 Gbps). You could use a Thunderbolt to USB 3 converter on the iMac and then use one of these cables to connect it to the MacBook, but that's a pretty expensive way to do it and I'm not even sure that'd work. I think you might be better off using a USB-C Ethernet adapter to link the two.