aux2index.pl is a small script that takes an SGML index file generated by collateindex.pl (part of Norman Walsh's DSSSL distribution), 'hard-codes' the page number references using the output of pdfjadetex, and pretty-formats those numbers.
The .aux file generated by pdfjadetex from the source SGML document.
The index file generated by collateindex.pl from the source SGML document.
aux2index.pl mydocument.aux index.sgml
Run aux2index.pl after you have generated your PDF output using pdfjadetex or similar, but before you have deleted the .aux file that it has left behind. Then, after checking that the output is correct, rerun openjade and pdfjadetex just as you did before to include the new index.