If you wish to load a large table, you may want to use a SwingWorker (details here) thread to load the table in the background. Loading a table with 500 rows should not be a problem. You can then put the data into a suitable object format and pass it to your TableModel.
If you decide to use a List for example, in your table model you could have two lists:
List allData
List viewData
int startIndex
The viewData list is what is referenced by the getValueAt(..) method in your implementation of the TableModel interface. The viewData list is always a subset (bound by startIndex, of length 5) of allData. When the user clicks "Next", your action listener could call a method on the Table model that increments startIndex by 5 (or whatever). You then regenerate your viewData instance so that it is the appropriate 5 row subset of allData, and call fireTableChanged(). This will be easy if you have extended AbstractTableModel in the first place.
This should be pretty straightforward to implement. I think its better than making a database call every time you want to get the next set of data. IMHO, its better to take a little bit more time upfront to preload the data.