Many books encourage a reader to jump around without actually supporting them in doing so, relegating all navigational aids to either the very front (table of contents) or very back (index).
Inline indexing means taking the time to explicitly cross-reference every concept within your book to several others.

A Pattern Language by Christopher Alexander, using inline indexing to support non-linear navigation through a dense conceptual web.
How it helps
Inline indexing is critical for supporting non-linear navigation, and is arguably non-negotiable in any book that expects the reader to "skip around."
More subtly, it also helps a reader to reorient themselves after each jump, using the inline index as a means of seeing how this particular piece connects to others, and fits within the whole.
Psychologically, it pacifies both fear of missing out ("what if I skip something good!?") and fear of getting lost, either of which can prevent a reader from freely jumping around..
How to make it work
Heavy use of indexing, such as in the Christopher Alexander example, will require a fair amount of space and is best handled via visually distinctive recurring segments.
Lighter indexing is more stylistically flexible, and can easily be delivered via margin notes, director's commentary, categorized callouts, footnotes, or even just an inline parenthetical (like this).
Critical requirements for an inline index:
- Consistent: whichever style you've chosen, you must use it every time and everywhere
- Comprehensive: no concept should be "orphaned" or unfindable via this web, with each of your book's concepts being pointed to by at least three other references
- Continuous: no section within your book should be a "dead-end", where it is pointed to without pointing at; in a mirror of the prior rule, each section should point out to at least three related concepts
- Connected: it should be possible, by following the inline index, to arrive at each and every part of the book, and never to become trapped in a ring of concepts that all link to each other without referencing anything else
Although the structure and presentation of the links should be consistent, the prose around the links can — and arguably should — be varied to provide appropriate framing and explanation of the relation between the two concepts. (Again, see the Alexander example, where certain references are individually explained, and others aren't.)
Pragmatically, it's up to you whether to build and maintain these cross-references "as you go," or whether to do it all in a single pass at the end, similar to the process for traditional indexing. My inclination is that it depends on which tool you use to write. If you're writing in an editor with strong support for two-way linking (like Obsidian or Roam), then you'll likely do it as you go. If you're using a more traditional editor like Word or GDocs, then it's probably more practical to ignore the indexing until the manuscript's structure is complete, and then add it in a single pass.11If you're indexing at the end, it should be doable with the same timing (and potentially by the same professional indexers) as you would use for a standard backmatter index. (See this self-publishing checklist for typical timings and dependencies.)