Thanks Muhammad. As you say, this is okay for a table of contents, but not for an index.
The only option seems to be to create one 'manually'. I have found two suggestions to use a search to assist with this:
• one using find: http://pagesfaq.blogspot.com.au/2008/01/how-do-i-create-index-in-pages.html
• another using Applescript: http://superuser.com/questions/84580/making-an-index-in-apple-iwork-pages
Perhaps this will be one of the pieces of functionality, along with other things like easily merging to labels, that will be added to the next version of Pages (please Apple)?