How to create indexes in a pdf?

Use LaTeX. Refer this for more detail. First install LaTeX and then follow tutorial. Finding LaTeX is not difficult for most distributions.

If you want to Click-and-Reference, refer this.

PDF Mod worked well for me. The entries I see left when reading pdfs in document viewer are called "bookmarks" in the program and can be edited at will, just pick a title and the corresponding page to jump to.

You can have an index that updates itself if you create a table of contents in Open Office. I've notice these will be converted to the index you describe when the document is published or exported to a pdf file.