Follow the instructions for "How to create a table of contents
for several documents" at
http://www.shaunakelly.com/word/toc/CreateATOC.html , except that
instead of inserting a TOC field, you will want to insert an
INDEX field.

Ed one wrote:

I have created an index for numerous individual chapters in a manual. With
each chapter I created an index based solely on that chapter. Now I what to
merge those multiple index pages. I want them listed a to z. I have tried
creating a single doucment by merging all pages and then sorting. Word will
not sort the multiple pages. How can I sort them and create a single index?