Compile a list of all the topics -- both large and small -- that the appendix should include. The appendix might include character names, abstract concepts, or relevant social issues that appear throughout the document.
Locate all the pages that touch on each subject you've listed. You can use a search function in your word processing program; but be sure to include page ranges if the topic continues over several pages. For example, if a sentence on Joyce extends from page 22 through the first word or line of page 23, write 22-23 in the appendix.
Begin typing the appendix in a separate document. Each entry in the appendix can also be broken down, with its own sub-headings. For example, an entry on "Marlowe, Christopher," might have subheadings on his death, his literary work, his education, his philosophy, his sexual orientation, or whatever other aspect of Marlowe's life and work are discussed in the book.
Alphabetize the list to make it easy to search. Proofread the appendix. Common errors in an appendix include the inaccurate headings and the misspelling of names. Also, attach it to the manuscript and have a reader try to use it. This will help you target incorrect page references. Make any necessary improvements to the organization or wording.