How to send data to another device on an ethernet switch without going back to the router?

[davidpersi]

Right now, I have two devices that are connected to each other with an ethernet cable. I transfer files between them a lot and they both have gigabit lan so speed is pretty good. The two devices are also connected to the internet via wifi. But I've been thinking of connecting to the internet via ethernet for both of these devices. But I only have one ethernet port that is accessible in the location. So I thought I would get a gigabit switch like this http://a.co/7DQlKze . If I do that and then I try to file transfer, the data will go back to the router and then to the device. The router have gigabit ports but is an entry level so Im worried the router will throttle the file transfer speed
Is there any way I can make the data leave the 1st pc then to the switch and then without going to the router, to the 2nd pc?
That was a long text. Thanks for reading this much. Any help appreciated.

 

[boju]

If both PC's are connected to the switch the router wont be used. If one PC is connected to router and other to switch then the router will be used.

 

[USAFRet]

Given this:
Router--->switch--->2 devices...

By default, data between the two devices does not transfer through the router. Only the switch.