Steve Litt wrote:
> Can anyone steer me in the right direction?

IIRC you have to create a new index style file my_index_style.ist. Examples 
for *.ist files should be found under texmf/makeindex/. Save it in 
$INDEXSTYLEFILE (probably $TEXMFHOME/makeindex/ist). Then configure LyX to 
call the style file: In Preferences->Output->LaTeX, change the makeindex 
command to

makeindex -c -q -s my_index_style.ist

HTH,
Jürgen

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