Hi Walter, not presently unfortunately. This is part of the fields capability if I'm not mistaken and hasn't been implemented yet. I'll leave this issue open as a feature request for it.

With Steve's excellent help, I got it all working. Here is the relevant piece of code for marking index entries:

from docx.oxml import OxmlElement
from docx.oxml.ns import qn

def MarkIndexEntry(entry,paragraph):
    run = paragraph.add_run()
    r = run._r
    fldChar = OxmlElement('w:fldChar')
    fldChar.set(qn('w:fldCharType'), 'begin')
    r.append(fldChar)

    run = paragraph.add_run()
    r = run._r
    instrText = OxmlElement('w:instrText')
    instrText.set(qn('xml:space'), 'preserve')
    instrText.text = ' XE "%s" '%(entry)
    r.append(instrText)

    run = paragraph.add_run()
    r = run._r
    fldChar = OxmlElement('w:fldChar')
    fldChar.set(qn('w:fldCharType'), 'end')
    r.append(fldChar)

Thank you so much, Steve!
Walter

Glad to hear you got it working Walter :)

Would be great if you could explain how to use the function for images or tables for a newbie.
The followingg has no effect on my document:

document.add_picture('test.png', width=Inches(5.25))
paragraph = document.paragraphs[-1]
MarkIndexEntry("Test Caption",paragraph)

@hannesharms Please use the mailing list for support questions:
https://groups.google.com/forum/#!forum/python-docx.

Thank you so much for sharing the code @wfb

I copied your code into my python program and it worked first time. Thanks very much, @wfb

This discussion is very valuable, thank you!
i am wondering, how to refer in the document back to the figure that was referenced by the method described above. So, if you define

Figure 1: [some figure caption],

how can you refer back to this figure in the text, such as

"Figure 1 states that..."?