Once the index phrases have been collected and organized, you are set for global indexing. I recommend to do this only on an otherwise finished document. Global indexing starts from the phrases buffer. There are several commands which start indexing: C-c C-x acts on the current phrase line, C-c C-r on all lines in the current region and C-c C-a on all phrase lines in the buffer. It is probably good to do indexing in small chunks since your concentration may not last long enough to do everything in one go.
RefTeX will start at the first phrase line and search the phrase globally in the whole document. At each match it will stop, compute the replacement string and offer you the following choices1:
The ‘Find and Index in Document’ menu in the phrases buffer also lists a few options for the indexing process. The options have associated customization variables to set the defaults (see Options - Index Support). Here is a short explanation of what the options do:
reftex-index-macros. Intended for re-indexing a documents after changes have been made.
Even though indexing should be the last thing you do to a document, you
are bound to make changes afterwards. Indexing then has to be applied
to the changed regions. The command
reftex-index-phrases-apply-to-region is designed for this
purpose. When called from a LaTeX document with active region, it will
reftex-index-all-phrases to the current region.
 Windows users: Restrict yourself to the described keys during indexing. Pressing <Help> at the indexing prompt can apparently hang Emacs.