The purpose of a subject index is to help the reader find key words. A keyword in the index can be accompanied by one or more page refences. You choose which pages you feel are meaningful to refer to. It is important to refer to the place where the keyword is mainly mentioned, the so-called main processing site. 

Include important concepts, explanatory terms and key people. Test the relevance of the words by putting yourself in the reader´s shoes. What might he/she want to look up? in general, it is better to include more words than fewer, about 2-3 words per page is usually adequate. It is important that a concept does not have too many page references, otherwise you risk complicating things for the reader.