In Docbook, one of the ways to make an index is to put <indexterm>s in your
document where you want the index entries to point to, and then just put an
<index/> in an appendix, and it builds an index for you.  (Other programs, like
'xmlto', can do this.)

Yelp doesn't seem to support <index/> yet.  But it's a great feature, and
indexes are incredibly helpful in documentation, so it should, someday.