As others have suggested, you can lhyperlink the appropriate words in the text. and jump to a separate index entry.
One other thought comes to mind. If you make your index into a dictionary, those entries could be called up by clicking on a word in the text of the book. Both Mobipocket Reader and MS Reader support multiple dictionaries. This would make things more integrated into the reading process, as opposed to jumping totally out of the ebook to a separate index.
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