Great tips. Thanks for spelling out the pros and cons of indexing a large data set. However, I think a link to some SAS syntax would be helpful. I either use the INDEX= data set option or PROC DATASETS. The 2005 paper by Michael Raithel provides working examples and additional points about efficiency.

The SAS/IML language has an INDEX statement that can be used for reading subsets of data into IML matrices. For details, see "Indexing a SAS data set to improve processing categories in SAS/IML"