I'm just throwing this idea out there; not sure whether it might be of help. It is somewhat inspired by David's showkeys package:

\documentclass{article}
\makeindex
\makeatletter
\newcommand{\@theindexentry}[1]{%
\smash{%
\rlap{\rule{.4pt}{.8\baselineskip}}% Vertical rule
\begin{lrbox}{\@tempboxa}\tiny\ttfamily#1\end{lrbox}% Box index entry
\rlap{\raisebox{.6\baselineskip}{\usebox{\@tempboxa}}}% key
}%
}
\def\@wrindex#1{%
\protected@write\@indexfile{}%
{\string\indexentry{#1}{\thepage}}%
\endgroup
\@esphack%
\@theindexentry{#1}%
}
\def\@index#1{\endgroup\@esphack\@theindexentry{#1}}
\makeatother
\begin{document}
Lorem\index{Alpha} ipsum dolor sit amet, consectetur\index{alpha} adipiscing elit.
Proin ullamcorper\index{gnat} quam magna, quis convallis\index{gnus!good} sapien. Donec
at ligula vel dolor varius\index{bites!vegetable} lobortis id ut orci\index{gnat!size of}. Maecenas
commodo fringilla elit\index{Alphabet}, et pellentesque purus ornare vitae.
Aenean non metus ipsum. Lorem\index{gnat!anatomy} ipsum dolor sit amet, consectetur
adipiscing\index{alphas} elit. Ut mauris lorem, accumsan a sagittis ut,
rutrum fringilla arcu. Cras ullamcorper faucibus\index{alpha bet} quam id molestie.
Nunc et\index{alphabet} sem et turpis semper adipiscing et id nibh. In nibh
mauris, placerat sed consequat placerat, dignissim ut\index{at!bat|see {bat, at}} arcu.
Aenean eleifend justo volutpat lectus\index{gnus!bad} interdum pellentesque.
Etiam cursus varius\index{twenty@xx} tellus, non pretium nibh tempus sit amet.
Suspendisse sed mauris nisl. Cum sociis natoque penatibus et
magnis dis parturient montes, nascetur\index{alpha@$\alpha$} ridiculus mus. Nullam
at feugiat nisi\index{bites!animal!gnats}.
\end{document}
It prints, for every \index, a vertical rule showing the point of reference, as well as the key used (minus { or }, for simplicity) in \tiny\ttfamily. Using xcolor one could make the appearance less intrusive by printing in black!30 (say):

\@theindexentry prints the index-related content. \smash takes care of any vertical adjustment, while the entire index entry is set inside a zero-width \rlap to remove any horizontal adjustment.
The definition of \@wrindex (in the presence of \makeindex) and \@index was taken directly from latex.ltx.
\emph. I'd suggest also putting a little symbol into the margin. So you could end up with\newcommand[1]{\index{#1}\emph{#1}\marginpar{\small IDX}}. – bodo Jul 22 '12 at 08:37