The following answer is compiled from the comments, so that we can remove this question from the "unanswered" list.
The problem you are describing is characteristic of a path problem with your shell profile. To determine whether you are able to run the
makeindex command from the command line, you can do:
This should return:
/usr/texbin/makeindex. If it doesn't, and returns nothing, then your TeX binaries aren't being found. (They are found by TeXShop because it sets its own path for all commands.)
To see what your path is, you can enter:
This should return something that includes
/usr/texbin; if it doesn't you need to fix that in your
If you're using MacTeX 2008, you have a really old distribution. I would strongly encourage you to update to MacTeX 2011.
As egreg notes, for multiple indices the package
imakeidx is useful, as it automates the run of
makeindex. (He is the author of