How do you add an a-z index to jump to docs in a finder folder?

No index is required. When viewing a Finder window, if you type the first letter or two of a file name, then the first file in the folder with that letter or combination will be selected. From there you can navigate with the arrow keys up or down (or laterally if in icon or column view) to move to other files.

To make navigation easier, you can change the way files are viewed in the window (icon, list, column or gallery) by selecting your choice in the tool bar at the top of the window. If using list view, then you can also sort alphabetically ascending or descending by clicking the name column title.

For more info, please see:

Organize your files in the Finder on Mac - Apple Support

Change view options in the Finder on Mac - Apple Support