Open a term window.
cd $HOME/wherever/the/files/are
cp a.txt+b.txt+c.txt+d.txt combined.txt
Or, if you have a directory with ONLY the .txt files you want to combine (having files with other extension in the directory is OK) AND you want the files combined in alphabetical order:
cp *.txt combined.txt
Index doesn't really make any sense. There are no "pages" in .txt files. If you printed it, where the pages fall would depend on the font size you use when you print. So, not sure what you expect from an index.
You could write a program in some scripting language, and it wouldn't take much. Myself, I would use Ruby. Then, you could create an "index" that at least lists the file names that were included.