Well, you can create them, but you probably won't be able to print them full
bleed unless you have a printer that can print clear to the edge (or unless
you print on oversized paper and trim the printout). Here's one way that's
often offered:

1. View | Header

2. In the header, insert a wrapped table (or a table in a frame or text
box). Make the table a single column, with as many rows as you need tabs,
and no border. Make the rows an Exact height such that the rows are spread
out across the height of the page.

3. Assuming that each chapter or part is a single section, unlink the
headers between sections so that each header is independent.

4. For each section, type your index tab text in the appropriate table cell
(rotating the text if desired). You'll probably want to reverse the text, so
give the cell black (or dark) shading. If the font color is set to
Automatic, it will automatically reverse to white if you use black shading;
otherwise, you'll need to change it explicitly. As usual when reversing
text, it's advisable to use a sans serif font, formatted bold.