If you data is up to 1 kHz, then your Nyquist limit is 2 kHz.
But if you are worried about other noise signals between 1 kHz and 20 kHz entering into your data, then you should
1. Find analog filters with a lower cutoff frequency
2. Sample at 40 kHz to avoid aliasing, filter the data digitally to (lowpass with a cutoff above 1 kHz), then then decimate your data by a factor of, for example, 10 (new sampling rate of 4 kHz) to reduce your data size.
Randall Pursley