Write index entries only where a topic is discussed significantly. Someone who wants to know about debugging information will certainly not find it in that chapter. Consistently capitalize the first word of every index entry, or else use lower case. According to convention, you should capitalize the first word of an index entry. However, this practice may make an index look crowded.
Some writers prefer lower case.
Regardless of which you prefer, choose one style and stick to it. Mixing the two styles looks bad. Always capitalize or use upper case for those words in an index for which this is proper, such as names of countries or acronyms. Write the indexing commands that refer to a whole section immediately after the section command, and write the indexing commands that refer to the paragraph before the paragraph. The quick brown fox jumps over the lazy dog.