How do I create a master index in Word 2007?

The challenge: create a master index in Word 2007, without generating a master document, that will still hyperlink sub-document references. Can it be done? If so, how?

There is talk of generating a macro that will meet the challenge, as well as some form of a jerry-rig that will trick Word 2007 into generating an index in the form of a TOC, though neither of these has been demonstrated.

Any takers?