It is possible to create a separate Word document listing the terms you want indexed and have Word use this file in your document to mark your index entries. You may have noted the AutoMark button on the Insert Entry dialog. Experienced indexers recommend that this method not be used.

"But the end result is that you have every term indexed at EVERY place it occurs. Most of the mentions of a term in a book are simply passing references: what the reader wants to see in the index is only one page number; the one that contains the main topic for the term. If you send them on a wild goose chase to 20 other places first, they will think most unkindly of you." John McGhie How Do I Create an Index in Word?

If you want to create a concordance or AutoMark file, you start with a new document. Add a two-column table. In the first column you put the terms that you want Word to index (remembering that the Index feature is case sensitive). In the second column you put the Index heading that you want to appear in the Index. See this page for more. I strongly recommend reading John McGhie's article, first, though.

Here is a very succinct and accurate video by Chris Menard:
Build an Index in Word Using a Concordance File