The answer to your question, "How do I create hyperlinks automatically?",
unfortunately, is: you don't. Word does not have that capability. Note that
Word 2003 didn't have this capability either, nor has any other version of
Word for Windows had it (I can't speak about the Mac, since I've never used
any of those versions).
Dawn was asking if index entries act as hyperlinks in the Word file *before*
you save the file as a PDF. I believe that you'll find that they are not.
That's because, unlike Word's TOC feature, Word's index feature does not
have a hyperlink option.
So... since Word doesn't convert index entries into hyperlinks to begin
with, there's nothing for it to convert into hyperlinks when you create the
PDF file.