If you need to create more than one index, use ReadWrite clause.

SELECT ... INTO CURSOR mycursor READWRITE
INDEX ON myfield1 TAG myfield1
INDEX ON myfield2 TAG myfield2
...

>Okay... This works,... ONCE!!. I am wanting the Headers of a grid to re-index the data in the grid. The data is from a SQL cursor. With you suggestion, I can click a certain header to sort by QTY, and it work. But then if I click another column to sort by PRICE, it says "\xxx\yyy.tmp" is read only. It must be talking about the temporary index file it built from the first header click. I tried SET SAFETY OFF, but that did not help. It's seems you would need to release the index file, before trying to create another one, so I tried SET ORDER TO, but that did not help either. I am sooo close.
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>>Create structural index. It has the same name as cursor's temp. table, so you don't have to worry about it's name.

SELECT ... INTO CURSOR mycursor NOFILTER
>>INDEX ON myfield TAG myfield