You might want to look at Index Tools Professional. A "master index" is one of the requirements I had when I wrote the plug-in. You'll find a routine in there to build a master index book, which will add files in proper order, skip generated files, and allow defining the prefix for each book to identify it in the master index. Finally, the documentation for the plug-in contains instructions that explain how to get the PDF for the master index to work for your configuration of PDFs.
Find it here: http://www.siliconprairiesoftware.com Click the Downloads button on the left side. Steve