Originally Posted by mncowboy
Toxaris is right, use Sigil to create the index. When you run the resulting epub through Kindle Previewer, the index works as advertised!
It sure beats manual linking!
Toxaris and mncowboy, thanks for your help.
I can see now that titling this thread 'Creating an Index' was misleading. My original post describes the use case exactly, but I fell into the trap of using printed book terminology where it wasn't appropriate. I'll edit the thread title to reflect this.