There are several ways to create an index that spans several documents:
Create an index in each individual document, copy and paste the indexes into a single document, and then edit them.
Select each index, choose , and then enter a name for the index. In a separate document, choose , select , click the button, and then locate and insert a named index section.
Create a master document, add as subdocuments the files that you want to include in the index, and then choose Insert - Table of Contents and Index - Table of Contents, Index or Bibliography.
