A few simple steps:
1.) create a new index through the Splunk web manager (or copy an already made indexes.conf file in the $SPLUNK_HOME/etc/system/default directory to your APP/local directory and modify accordingly)
2.) Once you have a working (soon to be working) indexes.conf file in your APP/local directory move on to the next step.
3.) modify/create your inputs.conf file in your APP/local/inputs.conf file to explicitly state:
index=[your index name]
something like this......
[udp://9999]
index=custom_index
disable = false
sourcetype = custom_source
3.) modify or create an authorize.conf file in your APP/local directory:
[role_user]
srchIndexesDefault = custom_index
4.) Restart splunk!
Answer to the question I posted on http://answers.splunk.com
http://answers.splunk.com/questions/1149/problem-getting-a-new-index-in-splunk-v4-0-x-to-work-properly
Happy Spelunking!!!