Assuming that with 'index', you are talking about a 'table of contents', then it is best to create your document first with the appropriate headings and let Word create your Table of contents from there.
So what you do is write all your titles in the appropriate heading-style. When done, or partly, on the home-tab in the 'paragraph' box there is a button for bullets, numbering and then the one we need, for a multilevel list.
Click that button and at the end, choose for 'define new multilevel list'. On that form, click on the 'More>>' button. Here you can start creating everything the way you want it.
Especially 'Link level to style' on the right hand side should prove to be very usefull, in addition to 'Include level number from' in the bottom middle, to create the list like you want it.
In the end, when the document is created the way you want it to look like, you can use the 'Table of contents' button from the references tab, to insert your 'index'.
More information, including screenshots, also on the following website: LINK