A multiple index cipher is a technique in which the code make changes the index setting of the wheel throughout the encoding process.  Doing this makes the cipher much more complex and harder to crack.  Each time you change the index, a single plain text letter will have a new cipher text replacement. 

If you recall from the basic shift cipher, with one index setting for the whole message there are a total of 25 possible letter combinations for the message.  This is because each letter can have one and only one replacement and you wouldn't use the actual values. 

If you add more indexes, you are turning the inner ring and thereby creating another set of 25 possible combinations each time you do so.  So if you have 3 different key settings then you have 25*25*25 combinations for the whole message - that's 15,625 in total.  Add in more index changes and that number continues to grow.  Cracking that by hand is going to be tough.

A sample

Supposed want to encode the the message "COOKIES" starting with index Ej.  We would set our wheel to Ej and look up the first letter C and write down it's cipher text of h.  Look for O and write down it's cipher text of t.  So the decoder knows what to do, I write the index into the message with the capital E - when the decoder sees the capital letter they know if means an index change.

Here is our cipher so far, note that it starts with Ej which is the starting index

Ejht

Now lets change the index to Qr.  I chose to do this on the repeated O so we aren't repeating a letter under the same key.  Reset the wheel to Kr, then look up the letters OKI and write down their cipher text matches of plj.  Write these into the cipher text making sure you include the key change and it looks like this:

EjhtQrplj

Lets do one more index change to Cu.  Set the wheel to that, look up the E and S for their cipher text matches, write in the new index and you get:

EjhtQrpljCuwk

So, when the recipient gets this, they know what then the see a capital letter to use it as part of the index with the next letter being the rest of the index.  Set the wheel to that, then decode until you hit another capital letter.

Here is a video showing the process.