Some books have a table of contents, but for the ones that don't I make one first and foremost. Then, I go back and read the books page by page marking where I don't feel 100% comfortable with the material, but the first read through is not for taking detailed notes. Once I've gone through them all, I go back and re-read. This time I'm not re-reading for retention of material except where I've marked during the first read through. Instead, I gloss through the materials and I take notes of what I want to include in the index. A good rule of thumb I use is have at least one entry for every page. Some pages, though, will obviously have more and some won't have any, but I try to find one. My entries for my index are "<term> <tab> 1.11." The first number is the book number and the second number is the page number. Once I've gone through all the books, I type the index up and print it out double-sided, multi-columned.
As dynamik/ajohnson pointed out, if you're looking up all the answers go back to the material and study some more. While they may give you enough time to look up all the answers with a good, detailed index, you're not doing yourself any favors by having to look them all up. I find, though, after going through the class and reading the books multiple times, I usually know the material fairly well.
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