Index question

Dear Friends,
I am creating an index for a long document. If I understand correctly I add
an index entry and word will create an index automatically when I am
finished
with a reference to where that entry is in the final document, i.e. the page
number. However what I would prefer is that it refer to a chapter and
section number. I use a "chapter style" at the beginning of each chapter and
each section has a heading "section 1, section 2 etc". How can I have word
create the based on my chapters and sections and not on page numbers?
Thank you
Susan